all 3876

open data X:\AUD.xls

data(format=xls,org=obs) /

close data

set lh / = log(hi)

set ll / = log(lo)

set r  / = (((lh-ll)**2.0)/(4*log(2)))**0.5

SET Range = log(LH - LL)

SET Ret = LOG(C/C{1})

linreg(NOPRINT) Ret / E

#constant



comp tau2 = 240

comp tau1=fix(%max(1,tau2-19))

comp k=0



do i=500,5540-tau2,tau2

comp k=k+1

declare series u

declare series h

declare series Q

STATS(NOPRINT) RANGE

SET Q / = EXP(%MEAN)

SET H / = EXP(RANGE - 0.43)

SET U / = 0.0

nonlin A1 A3 A4 B1 B2 B3 B4

compute A1=0.5, A3=0.05,A4=-0.1, B1=1, B2=0.9,B3=0.05,B4=-0.1



frml res = (RANGE -0.43 -LOG(H))/0.29

frml QF = exp(B1+B2*log(Q{1})+B3*u{1} +B4*E{1}/h{1})

frml HF = exp(A1*LOG(Q{1})+(1-A1)*log(h{1}) +A3*u{1} +A4*E{1}/h{1})

frml logl = (h(t)=hf(t)),(q(t)=qf(t)),(u(t)=res(t)),-0.5*u(t)**2/.29**2

maximize(method=genetic,NOPRINT, iters=100) LOGL I-497 I

maximize(method=BFGS,NOPRINT, iters=100) LOGL I-497 I



set Q i+1 i+1 = exp(%BETA(4)+ %BETA(5)*LOG(Q(i))+%BETA(6)*u(i) + %BETA(7)*E(i)/h(i))

set H i+1 i+1 = exp(%BETA(1)*LOG(Q(i))+(1-%BETA(1))*log(h(i))+%BETA(2)*u(i) + %BETA(3)*E(i)/h(i))



do j =1,tau2

set ract j j = r(i+j)



set Q i+j+1 i+j+1 = EXP(%BETA(4) +%BETA(5)*log(Q(I+j)))

set H i+j+1 i+j+1 = EXP(%BETA(1)*LOG(Q(i+j))+(1-%BETA(1))*log(H(I+j)))

end do j



stat(noprint) ract tau1 tau2

set ractbar k k = %mean

stat(noprint) H tau1 tau2

set rforbar k k = %mean

end do i



linreg(noprint) ractbar 1 k

#constant rforbar

comp a=%beta(1);comp as=%stderrs(1)

comp b=%beta(2);comp bs=%stderrs(2)

comp rsq=%rsquared

test(noprint)

# 1 2

# 0.0 1.0

comp fstat=%cdstat

set error2 1 k = (ractbar-rforbar)**2.0

stat(noprint) error2 1 k

comp mse=(%mean*k/(k-1))**0.5

disp tau1 tau2 mse 100*a 100*as b bs rsq fstat