readme.txt

the text file QMLE contains the quasi maximum likelyhood estimating procedure and performing Infor

the text file QMLE contains the quasi maximum 
likelyhood estimating procedure and performing Information Matrix test
for a univariate GARCH(1,1) model

it estimates the GARCH(1,1) process plus a costant for the input time
serie vector; I developed it to fit the model to financial time
series, so the dimension is the standard (1,1);

at the and of the optimization, (the Berndt, Hall, Hall and Hauseman algorithm)
it performes the Information Matrix Test calculating the value
which one has to compare to the critical one of the chi-squared 
distribution with 4 degrees of freedom for the choosen critical level

in order to run the algorithm correctly one has to put
the time serie vector in a variable called 'y'

my complete name is

Francesco Paolo Esposito

e-mail: [e-mail]

for more information contact me