/*
** Lesson 15.5: GARCH-M(1,1) Model of DM/BP Exchange Rate
** Based on Normal, t, and GED Distributions
** Bollerslerv and Ghysels [1996], JBES, 307-327.
*/
use gpe2;

@ Deutschmark/British Pound Excahnge Rate @
n=197; @ n=1974, 1-3-1984 to 12-31-1991 @
load data[n,2]=gpe\dmbp.txt;  

x=data[.,1]~ones(n,1);
b=x[.,1]/x[.,2];

call reset;
_nlopt=2;
_method=5;
_iter=100;
_conv=1;
_vcov=3; @ reporting QML/VCOV @

_garchllf=0; @ 0=normal distribution, 1=t, 2=GED @
_garch={1,1};
/*
_garchm=1;  @ GARCH in mean @
_garcha=1;  @ asymmetry in variance @
*/
call garchest(x[.,1],x[.,2],b);

end;

#include gpe\garch.gpe;