'change path to program path
%path = @runpath
cd %path

'load workfile
load Compiled 20yr bond data

'declare coef vectors to use in ARCH likelihood
coef(1) lambda = .1
coef(1) delta = .1
coef(1) gamma = .1
coef(1) vega = .1
coef(1) phi = .1

'get starting values 
equation eq_temp.ls variance c varlag1
lambda(1)=eq_temp.c(1)
delta(1)=eq_temp.c(2)
gamma(1)=eq_temp.@se^2

'set presample values of expressions in logl
!pi = @acos(-1)
series h2=gamma(1)
series epsilon = 0

'set up ARCH likelihood
logl ll0
ll0.append @logl logl
ll0.append epsilon = variance-lambda(1)-delta(1)
ll0.append h2 = gamma(1)+vega(1)*epsilon(-1)^2+phi(1)*h2(-1)
ll0.append logl = -0.5*log(2*!pi)-log(h2)/2-epsilon^2/h2/2

'estimate and display results
ll0.ml(showopts, m=1000, c=1e-5)
show ll0.output

'get starting values from univariate GARCH
equation eq1.ls variance c varlag1
show eq1.output