? P&R Exercise 10.4 GARCH(1,1) Estimation

options crt limwarn=0;
freq m;
smpl 50:1 96:2;
read(file='\tsp\prhb\datadisk\ex104.xls', format=excel) raaa r3 ip gip pw gpw;
dr3=r3-r3(-1);
dr3l=dr3(-1);
smpl 60:1 96:2;
olsq raaa c r3 r3(-1) r3(-2) ip ip(-1) gpw raaa(-1);

? P&R's Estimated Values from EVIEWS.
? Order of params: gam0-gam7 alpha0 alpha1 beta1 h(0) ;
read(type=gen,nrow=1,ncol=12) @start ;
.000283 .274926 -.268517 .032529 .000459 -.000456 .042058 .962636 
.000000109 .15 .6 .00000464 ; 

? TSP finds a higher value for the likelihood function, starting with
? the P&R answers.
copy @start start ;
arch(nar=1,nma=1,tol=.1,uncond,maxit=60) raaa c r3 r3(-1) r3(-2) ip ip(-1) gpw raaa(-1);

? P&R's Estimated Values from EVIEWS.
read(type=gen,nrow=1,ncol=13) @start ;
.0000279 .274963 -.268424 .032644 .000560 -.000556 .042046 .962919 
.000000214 .150185 .600098 .0000233 .00000464 ; 

? Again, TSP finds a higher value for the likelihood function.
arch(gt=dr3l, nar=1, nma=1, maxit=60) raaa c r3 r3(-1) r3(-2) ip ip(-1) gpw raaa(-1);

stop; end;