/*
** Lesson 15.4: GARCH(1,1) Model of DM/BP Exchange Rate
** Bollerslerv and Ghysels [1996], JBES, 307-327.
*/
use gpe2;
output file=gpe\output15.4 reset;

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

x=data[.,1];

call reset;
_names={"xrate"};
_rstat=1;
_rplot=2;

@ model identification @
_acf2=12;
_ebtest=6;
_acf=12;
_bgtest=6;

@ model estimation @
_garch={1,1};
_method=6;
_iter=100;
_nlopt=2;
_vcov=3;
call estimate(x,0);

end;