G13FGF Example Program Results
Parameter Standard
estimates errors
Alpha0 0.20 0.16
Alpha1 -0.65 0.28
Alpha2 -0.40 0.21
Psi1 -0.18 0.34
Psi2 0.54 0.31
Beta1 0.43 0.19
DF 4.31 1.02
B0 29.63 0.98
B1 -9.91 0.43
B2 5.57 0.83
Volatility forecast = 1.44