This article is primarily a replication study of Engle and Patton (2001, Quantitative Finance 1: 237–245), but it also serves as a demonstration of the time-series features introduced into Stata over the past two decades. The dataset used in the original study is extended from the end date of the original sample on 22 August 2000 to 1 August 2017 to examine the robustness of the models.

中文翻译：

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“波动率模型有什么好处？” 20年后的重新审视

本文主要是对 Engle 和 Patton (2001, Quantitative Finance 1: 237–245)的复制研究，但它也作为过去二十年引入 Stata 的时间序列特征的演示。原始研究中使用的数据集从原始样本的结束日期 2000 年 8 月 22 日延长至 2017 年 8 月 1 日，以检查模型的稳健性。