- scalar M
- scalar A1
- scalar B1
- for !1=1 to 252
- smpl 1999 2008m12+!1-1
- equation arc1.arch(h) return_sp500 c
- arc1.makegarch cvarf
- arc1.makeresids residf
- M=arc1.@coef(2)
- A1=arc1.@coef(3)
- B1=arc1.@coef(4)
- !n=arc1.@regobs
- smpl 1999+!n+1 1999+!n+2
- cvarf=M+A1^2* RESIDf(-1)^2 + B1^2*cvarf(-1)
- residf=0
- next


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