Data analysis with GARCH modeling
Well I havent read the paper but this is what it looks like to me:


Compute $R_t$ - the rolling average for month t.
$R_t &gt; 0 \Rightarrow  R_{t+} = R_t \wedge R_{t-} = 0$ and$R_t &lt; 0 \Rightarrow  R_{t-} = R_t \wedge R_{t+} = 0$