SAMPLE 1 1974
READ (DMBP.txt) Y DAYDUM

* Preliminary OLS estimation
OLS Y / DN GF

* Estimation results: Table 2, column 4 (Bollerslev and Ghysels, 1996)
HET Y / GARCH=1 PRESAMP STDRESID=E RESID=E1

* Diagnostic Testing
STAT E
OLS E / GF
ARIMA E 
GENR E2=E*E
ARIMA E2 

* Get the conditional standard deviation
GENR HSE=E1/E
GENR DAY=TIME(0)
* Smooth the results
NONPAR HSE DAY / METHOD=LOWESS PREDICT=HSMTH SMOOTH=0.1 
* Plot the conditional standard deviation
GRAPH HSE HSMTH / TIME LINEONLY
STOP