On Tue, 10 Nov 2015, Giulia Marchesi wrote: I guess that your best bet is to use Yi-Nung Yang's "GJR-garchm" function package; coincidentally, its sample script contains an AR(2), so you should be good to go. If you're unfamiliar with function packages, you may want to take a look at the "Function package guide" and/or chapter "User-defined functions" in the User's Guide. You'll find both under the "Help" menu. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------