EGARCH_VOL - EGARCH fitted conditional volatility values

Returns an array of the fitted (in-sample) conditional volatilities/standard deviations.

 

Syntax

EGARCH_VOL(X, Order, mean, alphas, gammas, 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 E-GARCH model mean (i.e. mu).

alphas are the parameters of the ARCH(p) component model (starting with the lowest lag).

gammas are the leverage parameters (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 gamma-coefficients must match the number of alpha-coefficients.
  5. The number of parameters in the input argument - alpha - determines the order of the ARCH component model.
  6. 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 EGARCH_VOL    
January 10, 2008 -2.827 1.190 EGARCH(1,1)  
January 11, 2008 -0.947 0.622 Mean -0.266
January 12, 2008 -0.877 0.889 Alpha_0 1.583
January 13, 2008 1.209 1.357 Alpha_1 -1.755
January 14, 2008 -1.669 0.747 Gamma_1 0.286
January 15, 2008 0.835 0.593 Beta_1 0.470
January 16, 2008 -0.266 0.212    
January 17, 2008 1.361 1.065    
January 18, 2008 -0.343 0.406    
January 19, 2008 0.475 1.282    
January 20, 2008 -1.153 1.292    
January 21, 2008 1.144 1.619    
January 22, 2008 -1.070 1.035    
January 23, 2008 -1.491 1.379    
January 24, 2008 0.686 1.471    
January 25, 2008 0.975 1.274    
January 26, 2008 -1.316 0.824    
January 27, 2008 0.125 0.907    
January 28, 2008 0.712 1.296    
January 29, 2008 -1.530 1.064    
January 30, 2008 0.918 1.079    
January 31, 2008 0.365 0.663    
February 1, 2008 -0.997 0.621    
February 2, 2008 -0.360 0.844    
February 3, 2008 1.347 1.901    
February 4, 2008 -1.339 1.145    
February 5, 2008 0.481 1.308    
February 6, 2008 -1.270 1.314    
February 7, 2008 1.710 1.554    
February 8, 2008 -0.125 0.647    
February 9, 2008 -0.940 1.406    

Files Examples

References

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