=============================================================================== Estimate of alpha for initial R observations =============================================================================== CML Version 1.0.18 12/18/95 10:48 am =============================================================================== return code = 0 normal convergence Mean log-likelihood -2.83782 Number of cases 20 Covariance of the parameters computed by the following method: Inverse of computed Hessian Parameters Estimates Std. err. Gradient ------------------------------------------------------------------ CONST -2.4115 0.9241 0.0000 alpha 2.0000 . -0.0242 h0 8.5387 2.7002 0.0000 Number of iterations 13 Minutes to convergence 0.07463 =============================================================================== Ordinary Wald confidence limits =============================================================================== CML Version 1.0.18 12/18/95 10:49 am =============================================================================== return code = 0 normal convergence Mean log-likelihood -2.88921 Number of cases 265 0.95 confidence limits Parameters Estimates Lower Limit Upper Limit Gradient ------------------------------------------------------------------ CONST 1.2957 0.7962 1.7951 0.0000 kappa 0.4535 0.1484 0.7587 0.0000 delta1 0.9132 0.8742 0.9522 0.0000 theta1 0.0049 -0.0112 0.0210 0.0000 alpha 1.8141 1.6212 2.0070 0.0000 Number of iterations 19 Minutes to convergence 0.58389 =============================================================================== Inequality constrained Wald confidence limits =============================================================================== CML Version 1.0.18 12/18/95 10:49 am =============================================================================== return code = 0 normal convergence Mean log-likelihood -2.88921 Number of cases 265 0.95 confidence limits Parameters Estimates Lower Limit Upper Limit Gradient ------------------------------------------------------------------ CONST 1.2957 0.7962 1.7951 0.0000 kappa 0.4535 0.1484 0.7492 0.0000 delta1 0.9132 0.8742 0.9521 0.0000 theta1 0.0049 0.0000 0.0210 0.0000 alpha 1.8141 1.6212 2.0000 0.0000 Number of iterations 19 Minutes to convergence 0.58389 =============================================================================== profile likelihood confidence limits =============================================================================== CML Version 1.0.18 12/18/95 11:09 am =============================================================================== return code = 0 normal convergence Mean log-likelihood -2.88921 Number of cases 265 0.95 confidence limits Parameters Estimates Lower Limit Upper Limit Gradient ------------------------------------------------------------------ CONST 1.2957 0.7962 1.7951 0.0000 kappa 0.4535 0.1484 0.7492 0.0000 delta1 0.9132 0.8742 0.9521 0.0000 theta1 0.0049 0.0000 0.0210 0.0000 alpha 1.8141 1.6212 2.0000 0.0000 Number of iterations 19 Minutes to convergence 0.58389 run garch.prg;