The standard garch command worked OK. I then tried to estimate the
same model via gig:

include gig.gfn
list X = const
bundle gb = gig_setup(djclose, 0, X, null, 10)
gig_estimate(&gb, 2) # 2 for max verbosity

In this case I got failure of convergence, but I could achieve
convergence by specifying GARCH(1,1) rather than ARCH(1):

gb = gig_setup(djclose, 1, X, null, 10)
gig_estimate(&gb)

The "beta" coefficient in this case is large, with a very small
standard error, which suggests that ARCH(1) is misspecified.

Allin
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