Returns an array for the model-fitted conditional volatilities/standard deviations.
Syntax
GARCHM_VOL (X, Order, Mean, Lambda, Alphas, Betas)
- 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)).
Value Order 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 GARCH-M model mean (i.e., mu).
- Lambda
- is the volatility coefficient for the mean. In finance, lambda is referenced as the risk premium.
- Alphas
- are the parameters of the ARCH(p) component model (starting with the lowest lag).
- Betas
- are the parameters of the GARCH(q) component model (starting with the lowest lag).
Remarks
- The underlying model is described here.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g., #N/A) at either end.
- The number of parameters in the input argument - alpha - determines the order of the ARCH component model.
- The number of parameters in the input argument - beta - determines the order of the GARCH component model.
Files Examples
Related Links
References
- Hamilton, J.D.; Time Series Analysis, Princeton University Press (1994), ISBN 0-691-04289-6.
- Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740.
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