set more off
capt log close
log using 327arch, replace
// 327arch  EC327 S2013
webuse wpi1,clear
g t2 = t^2
label var t Quarter
tsline D.ln_wpi, ti(delta log WPI)
graph export a0.pdf, replace
arch D.ln_wpi t t2, arch(1/3) nolog
predict double a1, var
tsline a1, ti(ARCH(3) conditional variance)
graph export a1.pdf, replace
arch D.ln_wpi t t2, arch(1/2) garch(1) nolog
predict double a2, var
tsline a2, ti(GARCH(2,1) conditional variance)
graph export a2.pdf, replace
arch D.ln_wpi, ar(1) ma(1 4) arch(1) garch(1) archm dist(t) nolog
predict double a3, var
tsline a3, ti("GARCH(1,1)-M conditional variance, t errors")
graph export a3.pdf, replace
label var a1 "ARCH(3)"
label var a3 "GARCH(1,1)-M"
tsline a1 a3, scheme(s2mono)
graph export a4.pdf,replace
log close
translate 327arch.smcl 327arch.pdf, replace