Problems with implementation of a GARCH-in-mean model with some modifications

[Matthias Hoffmann]

Hi all,

i`am trying to implement the following two models from the paper "On the Relation between the Expected Value and the Volatility of the Nominal ExcessReturn on Stocks" from Glostan, Jagannathan, Runkle (1993) , but i`am not sure if my solution for the first one is correct and unfortunately for the second model i have no solution.

1. Model:

My solution would be.
archmlags timeSeries, archmlags(1) garch(2) arch(1) tarch(1) het(rf)
variables: timeSeries and rf

Is it correct?

2. Model:

My second problem is, i have no clue how i can implement model 1 with the a modification of the innovation.

Thanks for your help!

Best regards
Matthias

[Matthias Hoffmann]

Oh sorry, i see a little mistake. My solution for model 1 is of course:
arch timeSeries, archmlags(1) garch(2) arch(1) tarch(1) het(rf)