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Thank you trubador, When I run this model and extract the arch terms by using "proc->make GARCH variance series", what is the difference between selecting variance in "arch-m" and not selecting anything at all? Sorry I am rather new to econometrics. Also in the mean equation wind...

Hey all, I am having trouble running an ARCH model, I would like to model a fisher relation except I want to add an extra term, the conditional variance of inflation. If my model is then interest = c + inflation + var(inflation) how do I model var(inflation) before I put it in the equation? Thank yo...