Computes the maximum likelihood estimate (MLE) of the model's parameters.
Syntax
GARCHM_CALIBRATE(X, Order, Model, Mask, Method, maxIter)
- 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).
- Mask
- is an array of 0's and 1's to specify which parameters to calibrate for. If missing, all parameters are included in the calibration.
- Method
- is the calibration/fitting method (1=MLE, 2=Bayesian). If missing, a Maximum Likelihood Estimate (MLE) is assumed.
Method Description 1 Maximum Likelihood Estimate (MLE) 2 Bayesian - maxIter
- is the maximum number of iterations used to calibrate the model. If missing, the default maximum of 100 is assumed.
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 maximum likelihood estimation (MLE) is a statistical method for fitting a model to the data and provides estimates for the model's parameters.
Files Examples
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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