workfile C:\oss\djia-data-daily u 1 19090

' This is the EVIEWS batch program for the non-linear DJIA paper
' the program can run as a batch file
' you have to do the GARCH manually from within EVIEWS
' COPYRIGHT BY O. Mikhail JANUARY 2006

' change the location of the data file to your relative directory


smpl 1 19090
genr time=@trend

'Open the data file
smpl 1 19090
read(o) C:\oss\DJIA-daily.txt DJIA
' CHANGE ONLY THE ABOVE LINE TO POINT TO WHERE YOUR DATA FILE IS

genr ldjia  = log(djia)
genr dldjia = dlog(djia)

'If you want to use the HP filter instead
' uncomment the following two lines
'hpf(14400) ldjia ldjiahp
'genr dldjia = ldjia - ldjiahp

'graphs
'freeze djia.line
'freeze ldjia.line
'freeze dldjia.line

'in-sample analysis
smpl 1 19090

coef(24) b
coef(24) s

'log ARMAs in levels, trend included
equation eq1
eq1.ls dldjia c ar(1)
b(1)=@aic
s(1)=@sc

equation eq2
eq2.ls dldjia c ar(1) ar(2)
b(2)=@aic
s(2)=@sc

equation eq3
eq3.ls dldjia c ar(1) ar(2) ar(3)
b(3)=@aic
s(3)=@sc

equation eq4
eq4.ls dldjia c ar(1) ar(2) ar(3) ar(4)
b(4)=@aic
s(4)=@sc

equation eq5
eq5.ls dldjia c ma(1)
b(5)=@aic
s(5)=@sc

equation eq6
eq6.ls dldjia c ar(1) ma(1)
b(6)=@aic
s(6)=@sc

equation eq7
eq7.ls dldjia c ar(1) ar(2) ma(1)
b(7)=@aic
s(7)=@sc

equation eq8
eq8.ls dldjia c ar(1) ar(2) ar(3) ma(1)
b(8)=@aic
s(8)=@sc

equation eq9
eq9.ls dldjia c ar(1) ar(2) ar(3) ar(4) ma(1)
b(9)=@aic
s(9)=@sc

equation eq10
eq10.ls dldjia c ma(1) ma(2)
b(10)=@aic
s(10)=@sc

equation eq11
eq11.ls dldjia c ar(1) ma(1) ma(2)
b(11)=@aic
s(11)=@sc

equation eq12
eq12.ls dldjia c ar(1) ar(2) ma(1) ma(2)
b(12)=@aic
s(12)=@sc

equation eq13
eq13.ls dldjia c ar(1) ar(2) ar(3) ma(1) ma(2)
b(13)=@aic
s(13)=@sc

equation eq14
eq14.ls dldjia c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2)
b(14)=@aic
s(14)=@sc

equation eq15
eq15.ls dldjia c ma(1) ma(2) ma(3)
b(15)=@aic
s(15)=@sc

equation eq16
eq16.ls dldjia c ar(1) ma(1) ma(2) ma(3)
b(16)=@aic
s(16)=@sc

equation eq17
eq17.ls dldjia c ar(1) ar(2) ma(1) ma(2) ma(3)
b(17)=@aic
s(17)=@sc

equation eq18
eq18.ls dldjia c ar(1) ar(2) ar(3) ma(1) ma(2) ma(3)
b(18)=@aic
s(18)=@sc

equation eq19
eq19.ls dldjia c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2) ma(3)
b(19)=@aic
s(19)=@sc

equation eq20
eq20.ls dldjia c ma(1) ma(2) ma(3) ma(4)
'freeze resid.ident (24)
b(20)=@aic
s(20)=@sc

equation eq21
eq21.ls dldjia c ar(1) ma(1) ma(2) ma(3) ma(4)
b(21)=@aic
s(21)=@sc

equation eq22
eq22.ls dldjia c ar(1) ar(2) ma(1) ma(2) ma(3) ma(4)
b(22)=@aic
s(22)=@sc

equation eq23
eq23.ls dldjia c ar(1) ar(2) ar(3) ma(1) ma(2) ma(3) ma(4)
b(23)=@aic
s(23)=@sc

equation eq24
eq24.ls dldjia c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2) ma(3) ma(4)
b(24)=@aic
s(24)=@sc

'keep the residuals from equation 1
' look at SIC which pointed to an AR(1)
eq1.makeresid residma1

'take the square of the residuals
genr resid2 = residma1*residma1

'find the best ARMA(m,p) for the resid2
'where m = max(p,q)
'to do the GARCH(p,q)

coef(45) b2
coef(45) s2

equation eq51
eq51.ls resid2 c ar(1)
b2(1)=@aic
s2(1)=@sc

equation eq52
eq52.ls resid2 c ar(1) ar(2)
b2(2)=@aic
s2(2)=@sc

equation eq53
eq53.ls resid2 c ar(1) ar(2) ar(3)
b2(3)=@aic
s2(3)=@sc

equation eq54
eq54.ls resid2 c ar(1) ar(2) ar(3) ar(4)
b2(4)=@aic
s2(4)=@sc

equation eq55
eq55.ls resid2 c ma(1)
b2(5)=@aic
s2(5)=@sc

equation eq56
eq56.ls resid2 c ar(1) ma(1)
b2(6)=@aic
s2(6)=@sc

equation eq57
eq57.ls resid2 c ar(1) ar(2) ma(1)
b2(7)=@aic
s2(7)=@sc

equation eq58
eq58.ls resid2 c ar(1) ar(2) ar(3) ma(1)
b2(8)=@aic
s2(8)=@sc

equation eq59
eq59.ls resid2 c ar(1) ar(2) ar(3) ar(4) ma(1)
b2(9)=@aic
s2(9)=@sc

equation eq60
eq60.ls resid2 c ma(1) ma(2)
b2(10)=@aic
s2(10)=@sc

equation eq61
eq61.ls resid2 c ar(1) ma(1) ma(2)
b2(11)=@aic
s2(11)=@sc

equation eq62
eq62.ls resid2 c ar(1) ar(2) ma(1) ma(2)
b2(12)=@aic
s2(12)=@sc

equation eq63
eq63.ls resid2 c ar(1) ar(2) ar(3) ma(1) ma(2)
b2(13)=@aic
s2(13)=@sc

equation eq64
eq64.ls resid2 c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2)
b2(14)=@aic
s2(14)=@sc

equation eq65
eq65.ls resid2 c ma(1) ma(2) ma(3)
b2(15)=@aic
s2(15)=@sc

equation eq66
eq66.ls resid2 c ar(1) ma(1) ma(2) ma(3)
b2(16)=@aic
s2(16)=@sc

equation eq67
eq67.ls resid2 c ar(1) ar(2) ma(1) ma(2) ma(3)
b2(17)=@aic
s2(17)=@sc

equation eq68
eq68.ls resid2 c ar(1) ar(2) ar(3) ma(1) ma(2) ma(3)
b2(18)=@aic
s2(18)=@sc

equation eq69
eq69.ls resid2 c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2) ma(3)
b2(19)=@aic
s2(19)=@sc

equation eq70
eq70.ls resid2 c ma(1) ma(2) ma(3) ma(4)
b2(20)=@aic
s2(20)=@sc

equation eq71
eq71.ls resid2 c ar(1) ma(1) ma(2) ma(3) ma(4)
b2(21)=@aic
s2(21)=@sc

equation eq72
eq72.ls resid2 c ar(1) ar(2) ma(1) ma(2) ma(3) ma(4)
b2(22)=@aic
s2(22)=@sc

equation eq73
eq73.ls resid2 c ar(1) ar(2) ar(3) ma(1) ma(2) ma(3) ma(4)
b2(23)=@aic
s2(23)=@sc

equation eq74
eq74.ls resid2 c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2) ma(3) ma(4)
b2(24)=@aic
s2(24)=@sc

equation eq75
eq75.ls resid2 c ma(1) ma(2) ma(3) ma(4) ma(5)
b2(25)=@aic
s2(25)=@sc

equation eq76
eq76.ls resid2 c ar(1) ma(1) ma(2) ma(3) ma(4) ma(5)
b2(26)=@aic
s2(26)=@sc

equation eq77
eq77.ls resid2 c ar(1) ar(2) ma(1) ma(2) ma(3) ma(4) ma(5)
b2(27)=@aic
s2(27)=@sc

equation eq78
eq78.ls resid2 c ar(1) ar(2) ar(3) ma(1) ma(2) ma(3) ma(4) ma(5)
b2(28)=@aic
s2(28)=@sc

equation eq79
eq79.ls resid2 c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2) ma(3) ma(4) ma(5)
b2(29)=@aic
s2(29)=@sc

equation eq80
eq80.ls resid2 c ar(1) ar(2) ar(3) ar(4) ar(5)
b2(30)=@aic
s2(30)=@sc

equation eq81
eq81.ls resid2 c ma(1) ma(2) ma(3) ma(4) ma(5) ma(6)
b2(31)=@aic
s2(31)=@sc

equation eq82
eq82.ls resid2 c ar(1) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6)
b2(32)=@aic
s2(32)=@sc

equation eq83
eq83.ls resid2 c ar(1) ar(2) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6)
b2(33)=@aic
s2(33)=@sc

equation eq84
eq84.ls resid2 c ar(1) ar(2) ar(3) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6)
b2(34)=@aic
s2(34)=@sc

equation eq85
eq85.ls resid2 c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6)
b2(35)=@aic
s2(35)=@sc

equation eq86
eq86.ls resid2 c ar(1) ar(2) ar(3) ar(4) ar(5) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6)
b2(36)=@aic
s2(36)=@sc

equation eq87
eq87.ls resid2 c ar(1) ar(2) ar(3) ar(4) ar(5) ar(6) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6)
b2(37)=@aic
s2(37)=@sc

equation eq88
eq88.ls resid2 c ar(1) ar(2) ar(3) ar(4) ar(6)
b2(38)=@aic
s2(38)=@sc

equation eq89
eq89.ls resid2 c ma(1) ma(2) ma(3) ma(4) ma(5) ma(7)
b2(39)=@aic
s2(39)=@sc

equation eq90
eq90.ls resid2 c ar(1) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6) ma(7)
b2(40)=@aic
s2(40)=@sc

equation eq91
eq91.ls resid2 c ar(1) ar(2) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6) ma(7)
b2(41)=@aic
s2(41)=@sc

equation eq92
eq92.ls resid2 c ar(1) ar(2) ar(3) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6) ma(7)
b2(42)=@aic
s2(42)=@sc

equation eq93
eq93.ls resid2 c ar(1) ar(2) ar(3) ar(4) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6) ma(7)
b2(43)=@aic
s2(43)=@sc

equation eq94
eq94.ls resid2 c ar(1) ar(2) ar(3) ar(4) ar(5) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6) ma(7)
b2(44)=@aic
s2(44)=@sc

equation eq95
eq95.ls resid2 c ar(1) ar(2) ar(3) ar(4) ar(5) ar(6) ma(1) ma(2) ma(3) ma(4) ma(5) ma(6) ma(7)
b2(45)=@aic 
s2(45)=@sc




' NOW DO THE GARCH MANUALLY
' O. MIKHAIL
' omikhail@hotmail.com