GARCHM_GUESS - Initial Values for Model's Parameters

Returns the initial guess of the model's parameters.

Syntax

GARCHM_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. 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

References

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