EGARCH_GUESS - Initial Values for Model's Parameters

Returns an initial/quick guess of a given model's parameters.

 

Syntax

EGARCH_GUESS(X, Order, p, q, innovation)

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)

p is the ARCH model component order.

q is the GARCH model component order.

innovation is the probability distribution model for the innovations/residuals (1=Gaussian (default), 2=t-Distribution, 3=GED).

value Description
1 Gaussian or Normal Distribution (default)
2 Student's t-Distribution
3 Generalized Error Distribution (GED)
 

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.
  7. EGARCH_GUESS returns the model's parameters in the following order:
    1. $\mu$
    2. $\alpha_o,\phi_1,...,\phi_p$
    3. $\gamma_1,\gamma_2,...,\gamma_p$
    4. $\beta_1,\beta_2,...,\theta_q$
    5. $\nu$

Files Examples

References

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