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 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)

Model 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

References

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