g13fc Example Program Results


 Normal distribution

           Parameter       Standard         Correct
           estimates       errors           values
            0.0921          0.0147          0.0800
            0.2283          0.0324          0.2000
            0.6576          0.0326          0.7000
           -0.4175          0.0682         -0.4000
            2.9803          0.0568          3.0000
            1.5345          0.0362          1.5000
            2.5316          0.0426          2.5000

  Volatility forecast =       0.4676


 Students T distribution

           Parameter       Standard         Correct
           estimates       errors           values
            3.6207          1.2246          0.1000
            0.9222          1.9652          0.1000
            0.0768          0.5243          0.8000
           -0.3422          0.3033         -0.4000
            2.1663          0.1191          4.0000
            2.9252          0.0777          3.0000
            1.5034          0.0568          1.5000
            2.5319          0.0554          2.5000

  Volatility forecast =      14.8297