arch_fit This functions fits an ARCH regression model to the time series Y using the scoring algorithm in Engle's original ARCH paper. [A, B] = arch_fit (Y, X, P, ITER, GAMMA, A0, B0) Fit an ARCH regression model to the time series Y using the scoring algorithm in Engle's original ARCH paper. The model is y(t) = b(1) * x(t,1) + ... + b(k) * x(t,k) + e(t), h(t) = a(1) + a(2) * e(t-1)^2 + ... + a(p+1) * e(t-p)^2 in which e(t) is N(0, h(t)), given a time-series vector Y up to time t-1 and a matrix of (ordinary) regressors X up to t. The order of the regression of the residual variance is specified by P. If invoked as 'arch_fit (Y, K, P)' with a positive integer K, fit an ARCH(K, P) process, i.e., do the above with the t-th row of X given by [1, y(t-1), ..., y(t-k)] Optionally, one can specify the number of iterations ITER, the updating factor GAMMA, and initial values a0 and b0 for the scoring algorithm.