(deprecated) Returns the confidence interval limits of the conditional mean forecast.
X is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
Sigmas is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)) of the last q realized volatilities.
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)).
|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 model mean (i.e. mu).
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).
innovation is the probability distribution function of the innovations/residuals (1=Gaussian (default), 2=t-Distribution, 3=GED).
|1||Gaussian or Normal Distribution (default)|
|3||Generalized Error Distribution (GED)|
Nu is the shape parameter (or degrees of freedom) of the innovations/residuals probability distribution function.
T is the forecast time/horizon (expressed in terms of steps beyond end of the time series).
alpha-level is the statistical significance level. If missing, a default of 5% is assumed.
upper If true, returns the upper confidence interval limit. Otherwise, returns lower limit.
|0||return lower limit|
|1||return upper limit|
- The underlying model is described here.
- Warning: GARCH_FORECI() function is deprecated as of version 1.63: use GARCH_FORE function instead.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g. #N/A) at either end.
- The significance level (i.e. $\alpha$) must be greater than zero and less than one. Otherwise, a #VALUE! is returned
- The number of steps must be greater than zero. Otherwise, a #VALUE! is returned
|=GARCH_FORE($B$2:$B$32,1,$D$3,$D$4:$D$5,$D$6,1)||Forecasted conditional mean at T+1 (-0.160)|
|=GARCH_FORECI($B$2:$B$32,1,$D$3,$D$4:$D$5,$D$6,,,1,5%,1)||Upper confidence interval for forecasted value at T+1 (1.798)|
|=GARCH_FORECI($B$2:$B$32,1,$D$3,$D$4:$D$5,$D$6,,,1,5%,0)||Lower confidence interval for forecasted value at T+1 (-2.118)|