*
* Example 8.10.3 from pp 303-305
*
open data garch.dat
data(format=prn,org=columns) 1 1867 bp cd dm dy sf
*
set dlogdm = 100*log(dm/dm{1})
garch(p=0,q=6,hseries=hh06) / dlogdm
garch(p=1,q=1,hseries=hh11) / dlogdm
garch(p=1,q=1,exp,asymmetric,hseries=hha) / dlogdm
*
set h06 = sqrt(hh06)
set h11 = sqrt(hh11)
set hha = sqrt(hha)
graph(key=below,klabels=||"ARCH6","EGARCH11","GARCH11"||) 3
# h06 1770 *
# hha 1770 *
# h11 1770 *