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1 2 3 4 5 6 7 8 | # Replicate GARCH model from T. Bollerslev and E. Ghysels,
# "Periodic Autoregressive Conditional Heteroscedasticity",
# Journal of Business and Economic Statistics, 14 (1996),
# pp. 139-151. 'Y' is the daily nominal return on the
# Deutschemark/Sterling exchange rate.
open b-g.gdt
garch 1 1 ; Y --vcv
|