9. This problem uses monthly observations of the two-month yield, that is, YT with T equal to two months, in the data set Irates in the Ecdat package. The rates are log-transformed to stabilize the variance. To fit a GARCH model to the changes in the log rates, run the following R code.

13 library(rugarch)

14 library(Ecdat)

15 data(Irates)