#EE435 Wasin Siwasarit 
#Step1: You need to set your current directory
setwd("/Users/wasin_siwasarit/Desktop/var")
require(MTS)
da <- read.table("d-exjpuseu.txt")
zt <- log(da)
colnames(zt) <- c("jpus","useu")
MTSplot(zt)
VARorder(zt)
m2 <- VAR(zt,1)
m2a <- refVAR(m2,thres=1.645)
names(m2a)
sig=m2a$Sigma
U=chol(sig)
names(U)
U

source("Igarch.R")
sp5=scan(file="sp500.txt")
Igarch(sp5,include.mean=T)