Solution Status: Locally Optimal

What'sBest!® 10.0.0.0 (Jul 03, 2008) - Library 5.5.1.
362 - Status Report -
DATE GENERATED: Jul 03, 2008 03:39 PM
MODEL INFORMATION:
CLASSIFICATION DATA Current Capacity Limits

--------------------------------------------------------
Numerics 644
Variables 1009
Adjustables 7 Unlimited
Constraints 2 Unlimited
Integers/Binaries 0/0 Unlimited
Nonlinears 755 Unlimited
Coefficients 4498
Minimum coefficient value: 0.00065894071457201 on <RHS>

Minimum coefficient in formula: LST-GARCH_Model!C104
Maximum coefficient value: 1 on LST-GARCH_Model!F264
Maximum coefficient in formula: LST-GARCH_Model!G14
MODEL TYPE: Nonlinear
SOLUTION STATUS: LOCALLY OPTIMAL
OPTIMALITY CONDITION: SATISFIED
OBJECTIVE VALUE: 197.32767467327
DIRECTION: Maximize
SOLVER TYPE: Multistart
TRIES: 88
INFEASIBILITY: 1.2045919817183e-013
BEST OBJECTIVE BOUND: . . .
STEPS: . . .
ACTIVE: . . .
SOLUTION TIME: 0 Hours 0 Minutes 20 Seconds
ERROR / WARNING MESSAGES:
***WARNING***
Nonlinearities Present (Help Reference: NLINCELL):
The cells below contain nonlinear expressions. If these cells are used only for
reporting, then, for efficiency, they should be included in a WBOMIT range (refer
to documentation). In some cases, nonlinear cells may be linearized automatically
by the Linearization option that is set in the General Options dialog box. This
warning can be turned off with the Nonlinearity Present checkbox in the
General Options dialog box
(cell addresses listed at bottom of tab).
LISTING:
***WARNING***
List of nonlinear cells:
LST-GARCH_Model!E15 LST-GARCH_Model!F15 LST-GARCH_Model!D16
LST-GARCH_Model!F16 LST-GARCH_Model!D17 LST-GARCH_Model!E17
LST-GARCH_Model!D18 LST-GARCH_Model!E18 LST-GARCH_Model!F18
LST-GARCH_Model!F264
End of Report
used only for
IT range (refer
d automatically
log box. This
LST-GARCH_Model!E16
LST-GARCH_Model!F17
LST-GARCH_Model!D19
LST-GARCH_Model!E20
LST-GARCH_Model!F21
LST-GARCH_Model!D23
LST-GARCH_Model!E24
LST-GARCH_Model!F25
LST-GARCH_Model!D27
LST-GARCH_Model!E28
LST-GARCH_Model!F29
LST-GARCH_Model!D31
LST-GARCH_Model!E32
LST-GARCH_Model!F33
LST-GARCH_Model!D35
LST-GARCH_Model!E36
LST-GARCH_Model!F37
LST-GARCH_Model!D39
LST-GARCH_Model!E40
LST-GARCH_Model!F41
LST-GARCH_Model!D43
LST-GARCH_Model!E44
LST-GARCH_Model!F45
LST-GARCH_Model!D47
LST-GARCH_Model!E48
LST-GARCH_Model!F49
LST-GARCH_Model!D51
LST-GARCH_Model!E52
LST-GARCH_Model!F53
LST-GARCH_Model!D55
LST-GARCH_Model!E56
LST-GARCH_Model!F57
LST-GARCH_Model!D59
LST-GARCH_Model!E60
LST-GARCH_Model!F61
LST-GARCH_Model!D63
LST-GARCH_Model!E64
LST-GARCH_Model!F65
LST-GARCH_Model!D67
LST-GARCH_Model!E68
LST-GARCH_Model!F69
LST-GARCH_Model!D71
LST-GARCH_Model!E72
LST-GARCH_Model!F73
LST-GARCH_Model!D75
LST-GARCH_Model!E76
LST-GARCH_Model!F77
LST-GARCH_Model!D79
LST-GARCH_Model!E80
LST-GARCH_Model!F81
LST-GARCH_Model!D83
LST-GARCH_Model!E84
LST-GARCH_Model!F85
LST-GARCH_Model!D87
LST-GARCH_Model!E88
LST-GARCH_Model!F89
LST-GARCH_Model!D91
LST-GARCH_Model!E92
LST-GARCH_Model!F93
LST-GARCH_Model!D95
LST-GARCH_Model!E96
LST-GARCH_Model!F97
LST-GARCH_Model!D99
LST-GARCH_Model!E100
LST-GARCH_Model!D103
LST-GARCH(1,1) Model
Given a series of observations, we want to estimate the data generation process with allowing variance to vary over time
following a first order logistic smooth transition generalized autoregressive conditional heteroscedasticity model (
Keywords: Smooth Transition, GARCH, Nonlinear Regression, Volatility Modeling, Regime Switching, Heteroscedasticity
Maximum Likelihood, Time Varying Parameters, Forecasting, Time Series, Econometrics;
Reference: Fransek, P. H. and van Dijk, D. (2000). Non-Linear Time Series Models in Empirical Finance
Original model by Eren Ocakverdi
Initialization is often made by setting the starting values equal to the

empirical standard deviation of the prior estimated regression (or mean) equation
↓ Log Maximum Estimated Coefficients

OBS y a Theta s Likelihood Likelihood Regression Equation
1 0.0100 0.041302 197.3277 alpha = 0.0112
2 0.0200 0.0088 0.5000 0.040076 2.2738
3 0.0362 0.0251 0.7074 0.037370 2.1432
4 0.0393 0.0281 0.9245 0.035137 2.1092
5 -0.0369 -0.0481 0.9433 0.033887 1.4574 Transition Equation
6 0.0042 -0.0070 0.0081 0.053114 2.0078 lambda = 100
7 0.0945 0.0833 0.3328 0.049548 0.6722 zet = 0
8 -0.0827 -0.0939 0.9998 0.062239 0.7200
9 -0.0500 -0.0612 0.0001 0.086754 1.2769
10 0.0246 0.0134 0.0022 0.084198 1.5429 *The yt sequence is estimated by the following eq
11 0.2300 0.2188 0.7930 0.072372 -2.8637 yt = alpha + at
12 -0.0174 -0.0286 1.0000 0.135722 1.0560 at = st*et
13 -0.0337 -0.0449 0.0542 0.108905 1.2135 st^2 = beta0 + beta1*(at-1)^2 +
14 -0.0388 -0.0500 0.0111 0.093122 1.3107 theta =1/(1 + exp(-lambda
15 -0.0384 -0.0496 0.0067 0.084394 1.3805 where et is a white noise process.
16 -0.0922 -0.1034 0.0069 0.078971 0.7622
17 -0.0522 -0.0634 0.0000 0.098810 1.1899 True Coefficients
18 -0.0564 -0.0676 0.0018 0.092043 1.1972 alpha = 0.0100
19 0.0571 0.0459 0.0012 0.089539 1.3627 beta0 = 0.0004
20 -0.1402 -0.1513 0.9900 0.080942 -0.1530 beta1 = 0.5000
21 -0.0530 -0.0642 0.0000 0.126099 1.0220 beta2 = 0.6000
22 0.0681 0.0570 0.0016 0.109329 1.1587 beta3 = -0.0001
23 -0.0693 -0.0805 0.9967 0.099162 1.0626 beta4 = -0.3000
24 0.0599 0.0487 0.0003 0.098550 1.2762 beta5 = 0.2000
25 0.1139 0.1027 0.9924 0.088854 0.8343 lambda = 100
26 -0.0295 -0.0407 1.0000 0.095023 1.3430 zet = 0
27 0.1300 0.1188 0.0168 0.083145 0.5473 s0 = 0.0400
28 -0.0230 -0.0342 1.0000 0.096879 1.3531
29 -0.0649 -0.0761 0.0317 0.082964 1.1494
30 0.1353 0.1242 0.0005 0.087932 0.5154
31 -0.0302 -0.0414 1.0000 0.101945 1.2819
32 -0.0770 -0.0882 0.0156 0.087790 1.0097
33 -0.0350 -0.0462 0.0001 0.095692 1.3114
34 0.1581 0.1469 0.0098 0.084934 0.0509
35 -0.0671 -0.0782 1.0000 0.109018 1.0398
36 0.0939 0.0827 0.0004 0.103360 1.0306
37 -0.0086 -0.0198 0.9997 0.099911 1.3648
38 -0.0851 -0.0963 0.1210 0.083101 0.8977
39 0.1956 0.1844 0.0001 0.097161 -0.3887
40 -0.0417 -0.0529 1.0000 0.131646 1.0280
41 -0.0919 -0.1031 0.0050 0.110037 0.8492
42 0.1718 0.1606 0.0000 0.114050 0.2610
43 0.1302 0.1190 1.0000 0.132242 0.6994
44 0.1419 0.1308 1.0000 0.131494 0.6155
45 -0.1325 -0.1437 1.0000 0.134305 0.5165
46 -0.0037 -0.0149 0.0000 0.145627 1.0026
47 0.0588 0.0476 0.1846 0.116301 1.1489
48 0.0362 0.0250 0.9915 0.103451 1.3205
49 0.0063 -0.0048 0.9243 0.089700 1.4909
50 0.0863 0.0751 0.3812 0.075540 1.1694
51 -0.0913 -0.1025 0.9995 0.076848 0.7581
52 -0.1102 -0.1214 0.0000 0.097379 0.6335
53 0.2135 0.2023 0.0000 0.116385 -0.2792
54 -0.1778 -0.1890 1.0000 0.150018 0.1846
55 -0.2035 -0.2147 0.0000 0.176241 0.0749
56 -0.2530 -0.2642 0.0000 0.202251 -0.1737
57 -0.0091 -0.0203 0.0000 0.240760 0.5015
58 -0.0238 -0.0350 0.1159 0.186393 0.7434
59 0.2139 0.2027 0.0294 0.145613 0.0388
60 -0.0140 -0.0252 1.0000 0.168132 0.8528
61 0.1124 0.1012 0.0743 0.132110 0.8116
62 -0.1460 -0.1572 1.0000 0.126777 0.3774
63 0.0694 0.0582 0.0000 0.148662 0.9105
64 -0.0177 -0.0289 0.9970 0.132077 1.0815
65 0.0109 -0.0003 0.0527 0.106351 1.3221
66 0.0382 0.0270 0.4918 0.088671 1.4575
67 0.1542 0.1430 0.9371 0.077480 -0.0636
68 0.0096 -0.0016 1.0000 0.103117 1.3528
69 0.0802 0.0690 0.4602 0.085997 1.2128
70 -0.0211 -0.0323 0.9990 0.083040 1.4940
71 -0.0359 -0.0471 0.0382 0.073600 1.4858
72 0.0402 0.0290 0.0090 0.071838 1.6331
73 -0.0300 -0.0412 0.9477 0.063641 1.6262
74 0.0644 0.0532 0.0160 0.064328 1.4832
75 0.0057 -0.0055 0.9951 0.062292 1.8530
76 0.0195 0.0083 0.3651 0.055603 1.9595
77 0.0382 0.0270 0.6962 0.049260 1.9411
78 0.0225 0.0113 0.9372 0.044845 2.1539
79 0.0069 -0.0043 0.7557 0.040702 2.2769
80 0.0404 0.0292 0.3933 0.040860 2.0230
81 0.0213 0.0102 0.9489 0.038505 2.3032
82 0.0182 0.0071 0.7342 0.036011 2.3858
83 0.0484 0.0372 0.6695 0.034738 1.8676
84 0.0303 0.0191 0.9763 0.035725 2.2705
85 0.0369 0.0257 0.8707 0.033379 2.1839
86 0.0175 0.0063 0.9291 0.032155 2.4990
87 -0.0241 -0.0353 0.6527 0.032236 1.9149
88 0.0444 0.0333 0.0284 0.047084 1.8875
89 -0.0640 -0.0752 0.9653 0.044158 0.7523
90 0.0863 0.0751 0.0005 0.070045 1.1642
91 0.0007 -0.0105 0.9995 0.072863 1.6898
92 -0.0204 -0.0316 0.2587 0.063543 1.7132
93 -0.0345 -0.0456 0.0406 0.061481 1.5945
94 -0.0156 -0.0268 0.0103 0.064647 1.7339
95 -0.0778 -0.0890 0.0641 0.060936 0.8129
96 -0.1287 -0.1399 0.0001 0.083655 0.1634
97 -0.0022 -0.0134 0.0000 0.120519 1.1908
98 -0.0893 -0.1005 0.2072 0.097879 0.8781
99 -0.1075 -0.1187 0.0000 0.106482 0.6995
100 0.1185 0.1073 0.0000 0.119454 0.8026
101 0.0478 0.0366 1.0000 0.118665 1.1649
102 0.1160 0.1048 0.9750 0.103980 0.8369
103 -0.3156 -0.3268 1.0000 0.106487 -3.3881
104 -0.2216 -0.2328 0.0000 0.243989 0.0364
105 -0.0966 -0.1078 0.0000 0.246490 0.3858
106 0.1022 0.0910 0.0000 0.201623 0.5806
107 -0.0870 -0.0982 0.9999 0.181064 0.6429
108 0.1344 0.1232 0.0001 0.155145 0.6290
109 0.2155 0.2043 1.0000 0.150053 0.0508
110 0.0355 0.0244 1.0000 0.171598 0.8336
111 -0.1879 -0.1991 0.9195 0.147431 0.0837
112 0.0849 0.0737 0.0000 0.180403 0.7101
113 0.0160 0.0048 0.9994 0.160833 0.9080
114 -0.0248 -0.0360 0.6186 0.133478 1.0585
115 0.0214 0.0102 0.0266 0.108126 1.3011
116 0.0055 -0.0057 0.7345 0.091681 1.4686
117 -0.0690 -0.0802 0.3605 0.076989 1.1030
118 0.2216 0.2104 0.0003 0.086640 -1.4210
119 0.0845 0.0733 1.0000 0.137880 0.9212
120 0.0991 0.0880 0.9993 0.125491 0.9109
121 0.2320 0.2208 0.9998 0.118472 -0.5231
122 -0.0007 -0.0118 1.0000 0.158923 0.9176
123 -0.1137 -0.1249 0.2342 0.126761 0.6612
124 0.0687 0.0575 0.0000 0.132835 1.0061
125 -0.1675 -0.1787 0.9968 0.118724 0.0795
126 -0.2015 -0.2127 0.0000 0.156578 0.0126
127 -0.0608 -0.0720 0.0000 0.191922 0.6614
128 -0.0571 -0.0683 0.0007 0.155415 0.8461
129 -0.0542 -0.0653 0.0011 0.129707 0.9966
130 -0.1715 -0.1827 0.0015 0.111974 -0.0604
131 -0.0818 -0.0930 0.0000 0.156059 0.7610
132 0.1217 0.1105 0.0001 0.137400 0.7425
133 -0.0922 -0.1034 1.0000 0.133171 0.7959
134 0.0450 0.0338 0.0000 0.127193 1.1077
135 -0.0949 -0.1061 0.9672 0.110872 0.8223
136 0.0274 0.0163 0.0000 0.115849 1.2267
137 0.0438 0.0327 0.8356 0.099006 1.3392
138 -0.0758 -0.0870 0.9632 0.086878 1.0234
139 0.0536 0.0424 0.0002 0.094683 1.3380
140 0.1369 0.1257 0.9858 0.084625 0.4471
141 0.1934 0.1822 1.0000 0.100426 -0.2659
142 0.0319 0.0207 1.0000 0.132525 1.0898
143 -0.0174 -0.0286 0.8883 0.113713 1.2235
144 -0.1827 -0.1939 0.0540 0.093491 -0.7005
145 -0.1080 -0.1192 0.0000 0.155890 0.6472
146 -0.2048 -0.2160 0.0000 0.146856 -0.0819
147 -0.1674 -0.1786 0.0000 0.189390 0.3002
148 -0.1625 -0.1737 0.0000 0.191475 0.3228
149 0.1982 0.1870 0.0000 0.190393 0.2573
150 -0.0836 -0.0948 1.0000 0.193990 0.6017
151 -0.0715 -0.0827 0.0001 0.162638 0.7680
152 -0.0154 -0.0265 0.0003 0.138439 1.0400
153 -0.3388 -0.3500 0.0657 0.110710 -3.7142
154 -0.0995 -0.1106 0.0000 0.260186 0.3370
155 0.0931 0.0819 0.0000 0.211723 0.5587
156 0.1666 0.1554 0.9997 0.188208 0.4104
157 0.1415 0.1303 1.0000 0.183623 0.5243
158 0.0301 0.0189 1.0000 0.173948 0.8242
159 0.1308 0.1196 0.8688 0.148415 0.6641
160 0.2790 0.2678 1.0000 0.143951 -0.7115
161 -0.1079 -0.1191 1.0000 0.192982 0.5357
162 -0.1220 -0.1332 0.0000 0.169645 0.5467
163 0.0773 0.0662 0.0000 0.160597 0.8251
164 0.1577 0.1465 0.9987 0.143189 0.5013
165 -0.1427 -0.1539 1.0000 0.147528 0.4505
166 0.1544 0.1432 0.0000 0.157411 0.5159
167 0.0751 0.0639 1.0000 0.157060 0.8494
168 0.1864 0.1752 0.9983 0.139910 0.2638
169 0.3461 0.3349 1.0000 0.154548 -1.3995
170 0.1458 0.1346 1.0000 0.227852 0.3856
171 -0.2635 -0.2747 1.0000 0.210211 -0.2132
172 0.3413 0.3301 0.0000 0.250141 -0.4038
173 0.1647 0.1535 1.0000 0.282502 0.1976
174 0.0661 0.0549 1.0000 0.258182 0.4125
175 -0.0999 -0.1110 0.9959 0.224821 0.4515
176 -0.0906 -0.1018 0.0000 0.187871 0.6063
177 0.0537 0.0426 0.0000 0.160688 0.8743
178 0.0028 -0.0084 0.9860 0.140357 1.0428
179 -0.0645 -0.0757 0.3015 0.113415 1.0349
180 0.1866 0.1755 0.0005 0.105072 -0.0600
181 -0.0498 -0.0610 1.0000 0.132450 0.9965
182 0.0351 0.0240 0.0022 0.112583 1.2425
183 0.1098 0.0986 0.9165 0.097286 0.8978
184 -0.0516 -0.0628 0.9999 0.099751 1.1878
185 0.0343 0.0231 0.0019 0.092422 1.4311
186 -0.0700 -0.0812 0.9101 0.080192 1.0920
187 -0.0301 -0.0413 0.0003 0.088696 1.3953
188 0.0432 0.0320 0.0159 0.079272 1.5345
189 -0.0085 -0.0197 0.9608 0.070240 1.6975
190 -0.0578 -0.0690 0.1221 0.063011 1.2456
191 0.1235 0.1123 0.0010 0.074841 0.5484
192 -0.0071 -0.0183 1.0000 0.089140 1.4776
193 0.0377 0.0265 0.1385 0.075501 1.6030
194 -0.0166 -0.0278 0.9341 0.066389 1.7056
195 0.0149 0.0037 0.0584 0.062224 1.8563
196 0.0038 -0.0074 0.5911 0.054654 1.9786
197 -0.0449 -0.0561 0.3228 0.050662 1.4509
198 0.0588 0.0476 0.0037 0.063437 1.5575
199 -0.0118 -0.0230 0.9915 0.060218 1.8180
200 0.0255 0.0143 0.0913 0.057378 1.9082
201 0.0251 0.0139 0.8066 0.050522 2.0287
202 0.0317 0.0205 0.8003 0.045031 2.0775
203 0.0366 0.0254 0.8863 0.040777 2.0859
204 0.0304 0.0192 0.9272 0.037859 2.2264
205 0.0062 -0.0050 0.8721 0.035040 2.4223
206 0.0257 0.0145 0.3781 0.037612 2.2871
207 0.0165 0.0054 0.8102 0.034909 2.4243
208 0.0581 0.0469 0.6309 0.034361 1.5213
209 0.0032 -0.0080 0.9909 0.038591 2.3144
210 0.0326 0.0214 0.3105 0.040670 2.1447
211 0.0442 0.0330 0.8949 0.037365 1.9773
212 -0.1005 -0.1117 0.9645 0.036593 -2.2696
213 -0.0017 -0.0129 0.0000 0.088875 1.4911
214 -0.0635 -0.0747 0.2164 0.074966 1.1750
215 -0.0487 -0.0599 0.0006 0.083204 1.3083
216 -0.0818 -0.0930 0.0025 0.081707 0.9374
217 0.2084 0.1972 0.0001 0.094936 -0.7222
218 -0.0128 -0.0240 1.0000 0.136019 1.0605
219 0.1211 0.1099 0.0835 0.108882 0.7890
220 0.0180 0.0069 1.0000 0.111599 1.2720
221 0.2422 0.2310 0.6649 0.093985 -1.5759
222 -0.3403 -0.3515 1.0000 0.150927 -1.7403
223 -0.2741 -0.2853 0.0000 0.272225 -0.1669
224 0.4074 0.3962 0.0000 0.286642 -0.6245
225 0.3386 0.3274 1.0000 0.330229 -0.3024
226 -0.2429 -0.2541 1.0000 0.337579 -0.1163
227 0.4416 0.4304 0.0000 0.310159 -0.7113
228 -0.4510 -0.4621 1.0000 0.357987 -0.7250
229 0.2798 0.2687 0.0000 0.420564 -0.2568
230 0.4400 0.4288 1.0000 0.392309 -0.5806
231 0.5708 0.5596 1.0000 0.413273 -0.9520
232 0.8067 0.7955 1.0000 0.471992 -1.5884
233 -0.1608 -0.1720 1.0000 0.599118 -0.4478
234 -0.1604 -0.1716 0.0000 0.464614 -0.2206
235 0.2843 0.2731 0.0000 0.368690 -0.1956
236 -0.1313 -0.1425 1.0000 0.352271 0.0426
237 -0.0350 -0.0462 0.0000 0.283282 0.3291
238 0.1377 0.1265 0.0097 0.216869 0.4393
239 0.1124 0.1012 1.0000 0.199756 0.5633
240 -0.0239 -0.0351 1.0000 0.181178 0.7706
241 -0.1560 -0.1672 0.0291 0.141863 0.3398
242 0.1771 0.1659 0.0000 0.161046 0.3766
243 -0.1359 -0.1471 1.0000 0.166327 0.4836
244 -0.3016 -0.3128 0.0000 0.164539 -0.9217
245 -0.2600 -0.2712 0.0000 0.252887 -0.1190
246 0.2460 0.2348 0.0000 0.269552 0.0125
247 0.0801 0.0689 1.0000 0.266362 0.3705
248 -0.0008 -0.0119 0.9990 0.233039 0.5363
249 -0.0316 -0.0428 0.2324 0.183164 0.7511
250 -0.1767 -0.1879 0.0137 0.144043 0.1681
251 -0.0130 -0.0242 0.0000 0.172843 0.8266
allowing variance to vary over time
al heteroscedasticity model (i.e. LST-GARCH(p,q), p=1 & q=1).
gime Switching, Heteroscedasticity,
es, Econometrics;
Empirical Finance, Cambridge University Press (see Chapter 4).
Estimated Coefficients
Variance Equation-1 Variance Equation-2 Stationarity Condition(s)
beta0 = 0.0011 beta3 = -0.0011
beta1 = 0.4882 beta4 = -0.1836
beta2 = 0.5582 beta5 = 0.1880 ######
Although the Scale and Location parameters are fixed here,

they can also be estimated through the model if no prior
information is available on their true values.
nce is estimated by the following equations:
+ beta1*(at-1)^2 +beta2*(st-1)^2 + theta*[beta3 + beta4*(at-1)^2 +beta5*(st-1)^2]

exp(-lambda*(at-1 - zet))) --> smooth transition equation
white noise process.
'---> Regression Equation
'---> Variance Equation-1
'---> Variance Equation-2
'---> Transition Equation
'---> Initial value of the conditional standard deviation

Solution Status: Locally Optimal

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Solution Status: Locally Optimal

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What'sBest!® 10.0.0.0 (Jul 03, 2008) - Library 5.5.1.

362 - Status Report -

DATE GENERATED: Jul 03, 2008 03:39 PM

CLASSIFICATION DATA Current Capacity Limits

Minimum coefficient value: 0.00065894071457201 on <RHS>

MODEL TYPE: Nonlinear

SOLUTION STATUS: LOCALLY OPTIMAL

OPTIMALITY CONDITION: SATISFIED

OBJECTIVE VALUE: 197.32767467327

SOLVER TYPE: Multistart

BEST OBJECTIVE BOUND: . . .

SOLUTION TIME: 0 Hours 0 Minutes 20 Seconds

ERROR / WARNING MESSAGES:

Initialization is often made by setting the starting values equal to the

↓ Log Maximum Estimated Coefficients

Although the Scale and Location parameters are fixed here,

nce is estimated by the following equations:

+ beta1*(at-1)^2 +beta2*(st-1)^2 + theta*[beta3 + beta4*(at-1)^2 +beta5*(st-1)^2]

'---> Regression Equation

'---> Variance Equation-1

'---> Variance Equation-2

'---> Transition Equation

'---> Initial value of the conditional standard deviation

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+ beta1(at-1)^2 +beta2(st-1)^2 + theta[beta3 + beta4(at-1)^2 +beta5*(st-1)^2]