Returns an array of cells for the fitted (in-sample) conditional volatility/standard deviation.
X is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
Order is the time order in the data series (i.e. the first data point's corresponding date (earliest date=1 (default), latest date=0)).
|1||ascending (the first data point corresponds to the earliest date) (default)|
|0||descending (the first data point corresponds to the latest date)|
mean is the ARMA model mean (i.e. mu).
sigma is the standard deviation of the model's residuals/innovations.
phi are the parameters of the AR(p) component model (starting with the lowest lag).
theta are the parameters of the MA(q) component model (starting with the lowest lag).
- The underlying model is described here.
- Warning: ARMA_VOL() function is deprecated as of version 1.63: use ARMA_FIT function instead.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g. #N/A) at either end.
- The ARMA model has independent and normally distributed residuals with constant variance.
$\sigma_t = \sigma$
- $\sigma_t$ is the conditional volatility at time t.
- $\sigma$ is the standard deviation of the ARMA residuals/innovations.
- The number of parameters in the input argument - phi - determines the order of the AR component.
- The number of parameters in the input argument - theta - determines the order of the MA component.
- D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
- James Douglas Hamilton; Time Series Analysis; Princeton University Press; 1st edition(Jan 11, 1994), ISBN: 691042896
- Tsay, Ruey S.; Analysis of Financial Time Series; John Wiley & SONS; 2nd edition(Aug 30, 2005), ISBN: 0-471-690740
- Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848
- Walter Enders; Applied Econometric Time Series; Wiley; 4th edition(Nov 03, 2014), ISBN: 1118808568