These are replication files for Chan and Maheu(2002), "Conditional Jump Dynamics in Stock Market Returns", Journal of Business and Economic Statistics, vol 20, no. 3, 377-389. This estimates GARCH models with added Poisson jump processes with either fixed or "ARJI" Poisson probabilities. The ARJI-GARCH model was introduced in this paper to allow the jump probabilities to be time-varying using an ARMA-like model. The JUMPGARCH.SRC file includes functions which evaluate the log likelihood for a single time period given the GARCH variance, the Poisson mean of the jump process and the mean and variance of the jumps. The calculation done here is slightly different from the one described in the paper—it computes the probabilities of the Poisson conditional on an upper bound on the number of jumps, while the calculations done in the paper use the standard Poisson integrating constant for the sums to infinity. The conditional calculation is more stable numerically.