GARCHM_ERRORS - Estimated Errors of the Parameters Values

Returns an array of cells for the estimated error/standard deviation of the model's parameters.

Syntax

GARCHM_ERRORS ([x], order, [model])

[X]

Required. Is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).

Order

Optional. 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).

[Model]

Required. Is the GARCH-M model representation array (a one-dimensional array of cells (e.g., rows or columns)) (see GARCHM function).

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.

Files Examples

Related Links

• Wikipedia - Autoregressive conditional heteroskedasticity.

References

• 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.