* ARCH model
* Data = WPI

cal 1960 1 4             ;* set calendar to begin 1960:Q1
all 0 1992:2             ;* data runs until 1992:Q2
open data wpi.wk1      ;* data is assumed to be on drive a:\
data(format=wks,org=obs) / wpi

set lwpi = log(wpi)

* ACF plot of the raw data
cor(partial=pacf,qstats,number=36,span=12,dfc=4) lwpi
source(noecho) bjident.src
@bjident lwpi

* Since it appears non-stationary, we take a first difference.
set dlwpi = lwpi - lwpi{1} ;* transform data
set y = dlwpi

cor(partial=pacf,qstats,number=36,span=12,dfc=4) y
source(noecho) bjident.src
@bjident y

* Estimating ARMA model(1,4) for the differenced data

boxjenk(constant,ar=1,ma=4) y / U
cor(partial=pacf,qstats,number=36,span=12,dfc=4) U

* Testing for arch effects
set u2 = u*u
lin u2
# constant u2{1 to 4}

* Estimating GARCH models

source(noecho) garch.src
@GARCH y / res1 Ht1   ; * Choose ar=1, ma=4, p=1, q=1, det=const

*garch(p=1,q=1,regressors,asymmetric) / y
*# constant y{1} %mvgavge{1 to 4}

*garch(p=1,q=1,regressors) / y
*# constant y{1}  %mvgavge{1 to 4}