EGARCH_FORECI - Forecasting Confidence Interval of EGARCH Model

(Deprecated) Returns the confidence interval limits of the conditional mean forecast.

Syntax

EGARCH_FORECI ([x], [σ], order, µ, [α], [γ], [β], f, ν, t, α, upper)

[X]

Required. Is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).

[σ]

Optional. Is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)) of the last q realized volatilities.

Order

Optional. Is the time order in the data series (i.e., the first data point's corresponding date (earliest date = 1 (default), latest date = 0)).

Value	Order
1	Ascending (the first data point corresponds to the earliest date) (default).
0	Descending (the first data point corresponds to the latest date).

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.

T

Optional. Is the forecast time/horizon (expressed in terms of steps beyond the end of the time series).

α

Optional. Is the statistical significance level (i.e., alpha). If missing or omitted, an alpha value of 5% is assumed.

Upper

Required. If true, returns the upper confidence interval limit. Otherwise, returns the lower limit.

Value	Upper
0	Returns the lower limit.
1	Returns the upper limit.

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. If the time series has intermediate missing values/points (i.e., #N/A), the function returns #N/A.
5. The significance level (α) must be greater than zero and less than one. Otherwise, a #VALUE! is returned.
6. The number of gamma coefficients must match the number of alpha coefficients (minus one).
7. The number of parameters in the input argument - [α_o α_1, α₂ … α_p] - determines the order of the ARCH component model.
8. The number of parameters in the input argument - [β_1, β₂ … β_q] - determines the order of the GARCH component model.

Files Examples

Related Links

• Wikipedia - Autoregressive conditional heteroskedasticity.

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.