options double crt;
name bg44 'TSP 4.4 GARCH(1,1) benchmark from Bollerslev-Ghysels JBES 4/96';
?
?  Below we reproduce p.146 Table 2 column 4 - GARCH(1,1) results
?          B-G     TSP MLNEWT1  TSP MLNEWT2  TSP MLNEWT3
?  mu    -.006     -.00617319   -.00619041   -.00626932
?        (.009)    (.00920255)  (.00918935)  (.00923712)
?  omega  .264      .263167      .263165      .241437
?        (.075)    (.074486)    (.074483)    (.053175)
?  alpha0 .0108     .010761      .010761      .010983
?                  (.00649317)  (.00649319)  (.00657626)
?  alpha1 .153      .153132      .153134      .148700
?        (.054)    (.053533)    (.053532)    (.054033)
?  beta1  .806      .805977      .805974      .805809
?        (.073)    (.072462)    (.072461)    (.073853)
?  LogL  -1106.6  -1106.60665  -1106.60788  -1106.94851
?--------------------
?  Notes:
?  Estimators vary according to handling of initial conditions:
?  ML-1:  h(0) = e(0)**2 = SSR(OLS)/T
?  ML-2:  h(0) = e(0)**2 = SSR(mu_current_iteration)/T
?  ML-3:  h(0) = e(0)**2 = omega (see definition below)
?  all SEs are robust (QMLE - White)
?  y = Deutschmark-British Pound daily percentage nominal returns,
?      1/3/1984 - 12/31/1991
?      Obtained on 1/30/98 from   ftp  web.amstat.org
?      jbes/View/96-2-APR/bollerslev_ghysels/bollerslev.sec41.dat
?--------------------
?  Requires TSP 4.4 dated 5/11/98 or later, which has the new
?      ARCH options HINIT= , E2INIT= , HITER=N, and HCOV=W .
?  by Clint Cummins
smpl 1,1974;
read(file='dmbp.dat') y monday;
olsq(silent) y c;
set h0ols = @ssr/@nob;  print h0ols;
arch(nar=1,nma=1,tol=1e-7,hinit=ols) y c;  print @logl;
arch(nar=1,nma=1,tol=1e-7) y c;  print @logl; ? default hinit=ssr/T
arch(nar=1,nma=1,tol=1e-7,hinit=steady) y c;  print @logl;