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
- The underlying model is described here.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g., #N/A) at either end.
- GARCHM_GUESS returns the model's parameters in the following order:
- $\mu$.
- $\lambda$.
- $\alpha_o,\phi_1,...,\phi_p$.
- $\beta_1,\beta_2,...,\theta_q$.
- $\nu$.
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.
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