File: garch.inp

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# Replicate GARCH model from T. Bollerslev and E. Ghysels, 
# "Periodic Autoregressive Conditional Heteroscedasticity", 
# Journal of Business and Economic Statistics, 14 (1996), 
# pp. 139-151.  'Y' is the daily nominal return on the
# Deutschemark/Sterling exchange rate.

open b-g.gdt
garch 1 1 ; Y --vcv