Has anyone estimated garch(1,1) parameters via analytic derivatives?
I'm trying to replicate the methodology of Fiorentini , Calzolari,  and
Panattoni - the so-called FCP algorithm..
(http://www3.interscience.wiley.com/journal/20784/abstract?CRETRY=1&SRETRY=0
)

Can you please suggest how
 1) the derivative of the likelihood function w.r.t parameter set can be
calculated
 2) How the hessian can be obtained.

Thank you very much any help,

Mahesh.

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