In this short note, we describe the specifications for some of the programs that were used to estimate the models used in the paper "Conditional Volatility, Skewness and Kurtosis: Existence, Persistence, and Comovements" by Jondeau and Rockinger (2003). The programs described in this note are public and may be obtained from the www (http://www.fame.ch/research/papers/OccPapers/Rockinger.htm) or by sending an e-mail (MR@fame.ch) to the authors.