*
* GARCHMV.PRG
*  part of Manual Example 12.2
*
*
clear
open data g10xrate.xls
data(format=xls,org=columns) 1 6237 usxjpn usxfra usxsui
*
set xjpn = 100.0*log(usxjpn/usxjpn{1})
set xfra = 100.0*log(usxfra/usxfra{1})
set xsui = 100.0*log(usxsui/usxsui{1})
*

* AR(1) models for each
*
equation(constant) jpneq xjpn 1
equation(constant) fraeq xfra 1
equation(constant) suieq xsui 1
group ar1 jpneq fraeq suieq
garch(p=1,q=1,model=ar1,mv=dcc,pmethod=simplex,piter=20,method=bfgs,iters=200,trace,hmatrices=hh,rvectors=us) / xjpn xfra xsui
*
*
@MVGarchFore(steps=100) hh us
*