Question: The 2 1 gradient vector, l (1)(0, 1), given for an ARCH(1) model was displayed in (5.47). Verify (5.47) and then use the result

The 2 × 1 gradient vector, l

(1)(α0, α1), given for an ARCH(1) model was displayed in (5.47). Verify (5.47) and then use the result to calculate the 2 ×2 Hessian matrix l

(2)(α0, α1) =  ∂2l/∂α2 0 ∂2l/∂α0∂α1

∂2l/∂α0∂α1 ∂2l/∂α2 1



.

Section 5.5

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