ARCH program (GAUSS)
It is composed of two files: March (specification of the model) and Larch (procedure with the likelihood function).
Reference: Engle (1982), Econometrica; Bollerslev (1986), Journal of Econometrics; Nelson (1991), Econometrica. See also Hamilton (1994), Time Series Analysis for more references.

MARCH
LARCH

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Standard Disclaimer: This program is provided free of charge, as is. The University of Houston and myself assume no responsability for its use or its content.

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