************************ * This program performs Smooth GARCH(1,1) Estimation ************************ all 0 755:1 open data m-3m4608.txt data(org=obs) / dd rt set h = 0.0 nonlin mu a0 a1 a2 a00 a11 frml at = rt(t) - mu frml var1 = a0+a1*at(t-1)**2+a2*at(t-2)**2 frml var2 = a00+a11*at(t-1)**2 frml gvar = var1(t)+var2(t)/(1.0+exp(-at(t-1)*1000.0)) frml garchlog = -0.5*log(h(t)=gvar(t))-0.5*at(t)**2/h(t) smpl 3 755 compute a0 = .01, a1 = 0.2, a2 = 0.1 compute a00 = .01, a11 = -.2, mu = 0.02 maximize(method=bhhh,recursive,iterations=150) garchlog set fv = gvar(t) set resid = at(t)/sqrt(fv(t)) set residsq = resid(t)*resid(t) cor(qstats,number=20,span=10) resid cor(qstats,number=20,span=10) residsq