Returns a unique string to designate the specified EGARCH model.
Syntax
EGARCH (µ, [α], [γ], [β], f, ν)
- µ
- Optional. Is the GARCH model long-run mean (i.e., mu). If missing, the process mean is assumed to be zero.
- [α]
- Required. Are the parameters of the ARCH(p) component model: [αo α1, α2 … αp] (starting with the lowest lag).
- [γ]
- Optional. Are the leverage parameters: [γ1, γ2 … γp] (starting with the lowest lag).
- [β]
- Optional. Are the parameters of the GARCH(q) component model: [β1, β2 … βq] (starting with the lowest lag).
- F
- Optional. Is the probability distribution function of the innovations/residuals (1 = Gaussian (default), 2 = t-Distribution, 3 = GED).
Value Probability Distribution 1 Gaussian or Normal Distribution (default). 2 Student's t-Distribution. 3 Generalized Error Distribution (GED). - ν
- Optional. Is the shape parameter (or degrees of freedom) of the innovations/residuals’ probability distribution function.
Remarks
- The underlying model is described here.
- The long-run mean can take any value or be omitted, in which case a zero value is assumed.
- For the input argument - ([α]) (parameters of the ARCH component):
- The input argument is not optional.
- The value in the first element must be positive.
- The order of the parameters starts with the lowest lag.
- One or more parameters may have missing values or error codes (i.e., #NUM!, #VALUE!, etc.).
- In the case where alpha has one non-missing entry/element (first), no ARCH component is included.
- The order of the ARCH component model is solely determined by the order (minus one) of the last value in the array with a numeric value (vs. missing or error).
- For the input argument - ([β]) (parameters of the GARCH component):
- The input argument is optional and can be omitted, in which case no GARCH component is included.
- The order of the parameters starts with the lowest lag.
- One or more parameters may have missing values or error codes (i.e., #NUM!, #VALUE!, etc.).
- The order of the GARCH component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
- For the input argument - ([γ]) (leverage parameters):
- The input argument is not optional and can be omitted.
- The number of entries must match the number of alpha-coefficients (minus one).
- The order of the parameters starts with the lowest lag.
- One or more parameters may have missing values or error codes (i.e., #NUM!, #VALUE!, etc.). In essence, we may designate leverage for certain terms in the ARCH component model.
- The number of gamma coefficients must match the number of alpha coefficients (minus one).
- The shape parameter (ν) is only used for non-Gaussian distributions and is otherwise ignored.
- For the student's t-distribution, the shape parameter’s value must be greater than four.
For GED distribution, the shape parameter’s value must be greater than one.
Files Examples
Related Links
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.
Comments
Article is closed for comments.