set obs 2000
generate tt = _n
tsset tt
scalar phi = 0.5
scalar b1 = 0.3
scalar b2 = 0.7
drawnorm eps, n(2000)
generate u = 0
generate y = 0
generate h = 1
forv ii = 2(1)2000 {
quiet replace h = 1+b1*(l.u)^2+b2*l.h in `ii'/`ii'
quiet replace u = sqrt(h)*eps in `ii'/`ii'
quiet replace y = phi*l.y+u in `ii'/`ii'
}
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twoway (line y tt in 1000/2000)
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twoway (line h tt in 1000/2000)
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