Kalman Filter and VARMA

[Eli Hadad]

Dears i have 3 variables being time, index and stock
I would like to estimate a Kalman Filter for stock and forecast, and, estimate a VARMA model for a system using {stock and index}, for the data bellow
Any help appreciated.
Regards
Eli

* Example generated by -dataex-. For more info, type help dataex
clear
input float(time index stock)
 0  112266.9 37.97
 1 112282.28 38.07
 2 112239.27 38.06
 3 112339.07 38.09
 4 112357.44 38.13
 5    112312 38.18
 6 112211.31 38.15
 7 112343.15 38.11
 8 112323.24 38.01
 9  112339.3 38.05
10 112266.77 38.13
11 112311.64 38.11
12 112312.84 38.09
13 112357.92 38.12
14  112373.5 38.11
15 112305.92 38.14
16 112235.43 38.23
17 112256.06 38.32
18  112356.1 38.32
19 112283.86 38.36
20 112239.55 38.32
21    112251 38.36
22 112281.05 38.37
23 112324.54  38.3
24 112373.97 38.34
25 112406.64 38.34
26 112414.43 38.34
27 112437.16 38.31
28  112420.7 38.28
29 112461.87 38.28
30 112372.69 38.32
31 112415.38 38.32
32 112457.63 38.34
33 112555.75 38.37
34 112560.13 38.35
35 112555.04 38.31
36 112526.88  38.3
37  112523.4  38.3
38 112602.48 38.33
39 112717.42 38.26
40    112686 38.25
41 112684.32 38.25
42  112698.9  38.3
43 112775.19 38.33
44  112715.5 38.32
45 112781.08 38.35
46 112822.23 38.34
47  112816.6 38.38
48 112841.03 38.39
49 112830.48 38.37
end