David E. Rapach and Jack K. Strauss, "Structural Breaks and GARCH Models of Exchange Rate Volatility", Journal of Applied Econometrics, Vol. 23, No. 1, 2008, pp. 65-90. There are two zip files. The file rapach-data.zip contains eight data files. The files rapach-progs.zip contains 96 Gauss .prg files and two Gauss .src files. All files are ASCII files in DOS format, so Unix users should use "unzip -a". The following files generate the empirical results reported in "Structural Breaks and GARCH Models of Exchange Rate Volatility" using GAUSS 6.0. If you have questions, contact: David E. Rapach Department of Economics Saint Louis University 3674 Lindell Boulevard Saint Louis, MO 63108-3397 rapachde [AT] slu.edu http://pages.slu.edu/faculty/rapachde/ All data files and created matrices are assumed to reside in c:\Research\Garchbreaks. The daily exchange rate observations are contained in the following files. Each file contains a column vector of observations, and the number of observations is indicated in parentheses. Canada: Data_ca_d.txt (6,654 observations) Denmark: Data_de_d.txt (6,596 observations) Germany: Data_ge_d.txt (6,612 observations) Japan: Data_ja_d.txt (6,644 observations) Norway: Data_no_d.txt (6,523 observations) Switzerland: Data_sw_d.txt (6,618 observations) U.K.: Data_uk_d.txt (6,620 observations) U.S. (trade-weighted): Data_us_d.txt (6,453 observations) The following program files generate the summary statistics reported in Table 1 and the modified ICSS algorithm and GARCH(1,1) estimation results reported in Table 2. Note that the files call icss.src and variance.src (included; these files are assumed to reside in the c:\gauss6.0\src subdirectory). The programs also call the GAUSS module Constrained Maximum Likelihood (CML) 2.0. Canada: Insam_ca.prg Denmark: Insam_de.prg Germany: Insam_ge.prg Japan: Insam_ja.prg Norway: Insam_no.prg Switzerland: Insam_sw.prg U.K.: Insam_uk.prg U.S. (trade-weighted): Insam_us.prg The following program files generate the GARCH parameter estimates used in the formation of the out-of-sample forecasts analyzed in Tables 3-5 and A2 for the GARCH(1,1) expanding window, FIGARCH(1,d,1) expanding window, GARCH(1,1) 0.50 rolling window, GARCH(1,1) 0.25 rolling window, GARCH(1,1) weighted ML, and GARCH(1,1) with breaks models. Canada: Oos_ca_pe.prg Denmark: Oos_de_pe.prg Germany: Oos_ge_pe.prg Japan: Oos_ja_pe.prg Norway: Oos_no_pe.prg Switzerland: Oos_sw_pe.prg U.K.: Oos_uk_pe.prg U.S. (trade-weighted): Oos_us_pe.prg The following program files generate the MSFE* and MVaR values reported in Tables 3-5, 7, and A2. They also generate the empirical coverage frequencies for the 5% VaR forecasts reported in Table A1. Note that the program files listed above that generate the parameter estimates used in the formation of the out-of-sample forecasts must be run before these files. Also note that you may obtain slightly different MVaR values from those reported in the tables, as the random draws used in the simulations to compute the 5% quantiles are not seeded. Canada: Oos_ca_s1_n01.prg Oos_ca_s20_n01.prg Oos_ca_s60_n01.prg Oos_ca_s120_n01.prg Denmark: Oos_de_s1_n01.prg Oos_de_s20_n01.prg Oos_de_s60_n01.prg Oos_de_s120_n01.prg Germany: Oos_ge_s1_n01.prg Oos_ge_s20_n01.prg Oos_ge_s60_n01.prg Oos_ge_s120_n01.prg Japan: Oos_ja_s1_n01.prg Oos_ja_s20_n01.prg Oos_ja_s60_n01.prg Oos_ja_s120_n01.prg Norway: Oos_no_s1_n01.prg Oos_no_s20_n01.prg Oos_no_s60_n01.prg Oos_no_s120_n01.prg Switzerland: Oos_sw_s1_n01.prg Oos_sw_s20_n01.prg Oos_sw_s60_n01.prg Oos_sw_s120_n01.prg U.K.: Oos_uk_s1_n01.prg Oos_uk_s20_n01.prg Oos_uk_s60_n01.prg Oos_uk_s120_n01.prg U.S. (trade-weighted): Oos_us_s1_n01.prg Oos_us_s20_n01.prg Oos_us_s60_n01.prg Oos_us_s120_n01.prg The following program files generate the p-values for the White (2000) and Hansen (2005) statistics reported in Tables 3-5 and A2. Note that the program files listed above used to generate the MSFE* and MVaR values must be run before these files. Canada: Oos_ca_spa_n01.prg Denmark: Oos_de_spa_n01.prg Germany: Oos_ge_spa_n01.prg Japan: Oos_ja_spa_n01.prg Norway: Oos_no_spa_n01.prg Switzerland: Oos_sw_spa_n01.prg U.K.: Oos_uk_spa_n01.prg U.S. (trade-weighted): Oos_us_spa_n01.prg The following files generate the results reported in Table A3 and discussed in Section 3.3. Note that that you may obtain slightly different MVaR values from those reported in Table A3, as the random draws used in the simulations to compute the 5% quantiles are not seeded. Canada: Oos_ca_s60_fhs.prg Denmark: Oos_de_s60_fhs.prg Germany: Oos_ge_s60_fhs.prg Japan: Oos_ja_s60_fhs.prg Norway: Oos_no_s60_fhs.prg Switzerland: Oos_sw_s60_fhs.prg U.K.: Oos_uk_s60_fhs.prg U.S. (trade-weighted): Oos_us_s60_fhs.prg The following program files generate the GJR-GARCH(1,1) and MS-GARCH(1,1) parameter estimates used in the formation of the out-of-sample forecasts reported in Table A4 and discussed in Section 3.3. Canada: Oos_ca_pe_other.prg Denmark: Oos_de_pe_other.prg Germany: Oos_ge_pe_other.prg Japan: Oos_ja_pe_other.prg Norway: Oos_no_pe_other.prg Switzerland: Oos_sw_pe_other.prg U.K.: Oos_uk_pe_other.prg U.S. (trade-weighted): Oos_us_pe_other.prg The following program files generate the MSFE* and MVaR values reported in Table A4. Note that the program files listed above that generate the parameter estimates used in the formation of the out-of-sample forecasts must be run before these files. Also note that you may obtain slightly different MVaR values from those reported in Table A5, as the random draws used in the simulations to compute the 5% quantiles are not seeded. Canada: Oos_ca_other_n01.prg Denmark: Oos_de_other_n01.prg Germany: Oos_ge_other_n01.prg Japan: Oos_ja_other_n01.prg Norway: Oos_no_other_n01.prg Switzerland: Oos_sw_other_n01.prg U.K.: Oos_uk_other_n01.prg U.S. (trade-weighted): Oos_us_other_n01.prg The following program files generate the GARCH parameter estimates used in the formation of the out-of-sample forecasts analyzed in Table A5 for the GARCH(1,1) expanding window, FIGARCH(1,d,1) expanding window, GARCH(1,1) 0.50 rolling window, GARCH(1,1) 0.25 rolling window, GARCH(1,1) weighted ML, and GARCH(1,1) with breaks models. Canada: Oos_ca_pe_earlier.prg Denmark: Oos_de_pe_earlier.prg Germany: Oos_ge_pe_earlier.prg Japan: Oos_ja_pe_earlier.prg Norway: Oos_no_pe_earlier.prg Switzerland: Oos_sw_pe_earlier.prg U.K.: Oos_uk_pe_earlier.prg U.S. (trade-weighted): Oos_us_pe_earlier.prg The following program files generate the MSFE* and MVaR values reported in Table A5. Note that the program files listed above that generate the parameter estimates used in the formation of the out-of-sample forecasts must be run before these files. Also note that you may obtain slightly different MVaR values from those reported in Table A5, as the random draws used in the simulations to compute the 5% quantiles are not seeded. Canada: Oos_ca_s60_n01_earlier.prg Denmark: Oos_de_s60_n01_earlier.prg Germany: Oos_ge_s60_n01_earlier.prg Japan: Oos_ja_s60_n01_earlier.prg Norway: Oos_no_s60_n01_earlier.prg Switzerland: Oos_sw_s60_n01_earlier.prg U.K.: Oos_uk_s60_n01_earlier.prg U.S. (trade-weighted): Oos_us_s60_n01_earlier.prg