nag_estimate_agarchII (g13fcc) Example Program Results
Parameter estimates Standard errors Correct values
0.0916 (0.0147) 0.0800
0.2268 (0.0324) 0.2000
0.6596 (0.0326) 0.7000
-0.4188 (0.0686) -0.4000
2.9804 (0.0565) 3.0000
1.5345 (0.0362) 1.5000
2.5314 (0.0424) 2.5000
3 step forecast = 0.4238