Problems with some financial time-series


For my thesis I was given the assignment to research the effect of macroeconomic news on stocks. I chose to investigate the effect of US announcements coming from the BLS on the Brazilian stock market. In my case I wanted to check if the announcements would have a significant effect on the volatilities of the indices.

From previous researches I concluded that the best way of researching this was using a GARCH time-series. Unfortunately I am unfamiliar with this technique. Both the actual reasoning behind it and applying it with the help of statistical software packages.

The data I currently have at my disposal are both the price and returns of several Brazilian indices, dummy variables for the most important US macroeconomic news announcements and in most cases the change percentage of those same announcements.

I've found a paper by Nikkinen et al. (2006) that investigates the same effect with a completely different sample and I've been trying to use this paper to get my methodology. So far it has cleared a few things up for me and I have a vague idea what they are doing but at the same time a lot of things are still unclear to me. So any help on both the reasoning and/or how I'd get such time-series, similar to the above mentioned methodology, in Stata or EViews would be much appreciated.

Thanks in advance, Frank

P.S: I've uploaded the pages which describe the methodology in the Nikkinen et al. (2006) paper. I wanted to upload the entire thing but I don't want to get any weird copyright cases going against me. If things are still unclear, just tell me and I'll try to provide more information.