GARCHM_GUESS - Initial Values for Model's Parameters

Returns the initial guess of the model's parameters.

Syntax

GARCHM_GUESS ([x], order, p, q, f)

[X]
Required. Is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).
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).
p
Required. Is the ARCH model component order.
q
Required. Is the GARCH model component order.
F
Optional. Is the probability distribution function of the innovations/residuals.
Value Probability Distribution
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. GARCHM_GUESS returns the model's parameters in the following order:
    1. $\mu$.
    2. $\lambda$.
    3. $\alpha_o,\phi_1,...,\phi_p$.
    4. $\beta_1,\beta_2,...,\theta_q$.
    5. $\nu$.

Files Examples

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