G13FEF Example Program Results
Parameter Standard
estimates errors
Alpha0 0.08 0.12
Alpha1 0.00 0.85
Beta1 0.67 0.19
Gamma 0.35 0.63
DF 5.03 5.13
B0 50.22 3.33
B1 -18.48 1.43
B2 6.45 0.54
Volatility forecast = 0.61