GARCHM_VOL - GARCH-M fitted values of conditional volatility

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)).

Order Description
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

  1. The underlying model is described here.
  2. The time series is homogeneous or equally spaced.
  3. The time series may include missing values (e.g. #N/A) at either end.
  4. The number of parameters in the input argument - alpha - determines the order of the ARCH component model.
  5. The number of parameters in the input argument - beta - determines the order of the GARCH component model.

Examples

Example 1:

 
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A B C D E
Date Data GARCHM_VOL    
January 10, 2008 -2.827 0.9966 GARCH-M(1,1)  
January 11, 2008 -0.947 0.9966 Mean -0.076
January 12, 2008 -0.877 0.9966 Lambda 0.145
January 13, 2008 1.209 0.9966 Alpha_0 0.593
January 14, 2008 -1.669 0.9966 Alpha_1 0.000
January 15, 2008 0.835 0.9966 Beta_1 0.403
January 16, 2008 -0.266 0.9966    
January 17, 2008 1.361 0.9966    
January 18, 2008 -0.343 0.9966    
January 19, 2008 0.475 0.9966    
January 20, 2008 -1.153 0.9966    
January 21, 2008 1.144 0.9966    
January 22, 2008 -1.070 0.9966    
January 23, 2008 -1.491 0.9966    
January 24, 2008 0.686 0.9966    
January 25, 2008 0.975 0.9966    
January 26, 2008 -1.316 0.9966    
January 27, 2008 0.125 0.9966    
January 28, 2008 0.712 0.9966    
January 29, 2008 -1.530 0.9966    
January 30, 2008 0.918 0.9966    
January 31, 2008 0.365 0.9966    
February 1, 2008 -0.997 0.9966    
February 2, 2008 -0.360 0.9966    
February 3, 2008 1.347 0.9966    
February 4, 2008 -1.339 0.9966    
February 5, 2008 0.481 0.9966    
February 6, 2008 -1.270 0.9966    
February 7, 2008 1.710 0.9966    
February 8, 2008 -0.125 0.9966    
February 9, 2008 -0.940 0.9966    

Files Examples

References

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