I want to estimate a GARCH(1,1) model in IML because I want to use some numerical derivative subroutine of IML. In addition, I have a multi-step estimation system. I need to adjust the covariance matrix according to Newey and Mcfadden (1994) chapter 36 of Handbook of Econometrics. Anyone has any idea how to implement it in IML? Any comment is appreciated. Thank you in advance.
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