书上的例子是对的，如example 3.1, 用Eview得到的结果为：

rt=0.026+at, sigma_t^2=0.010489+0.433255a_(t-1)^2

与书上结果基本一致。

现在会这么多软件阿，Rats也有了？

------------------------------------------------------------------------------ | OPG r | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- r | _cons | .0268261 .0061016 4.40 0.000 .0148672 .0387851 -------------+---------------------------------------------------------------- ARCH | arch | L1 | .4355025 .1126931 3.86 0.000 .2146281 .6563769 _cons | .0104726 .0013511 7.75 0.000 .0078244 .0131208 ------------------------------------------------------------------------------

我用stata的结果,看来和用eview作出来的差不多