GARCH_VOL - GARCH fitted values of conditional volatility

Returns an array of the fitted (in-sample) conditional volatilities/standard deviations (sigmas).

Syntax

GARCH_VOL(X, Order, mean, alphas, betas)

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)

mean is the GARCH model mean (i.e. mu).

alphas are the parameters of the ARCH(p) component model (starting with the lowest lag).

betas are the parameters of the GARCH(q) component model (starting with the lowest lag).

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 parameters in the input argument - alpha - determines the order of the ARCH component model.
  5. The number of parameters in the input argument - beta - determines the order of the GARCH component model.

Examples

Example 1:

 
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A B C D E
Date Data GARCH_VOL    
January 10, 2008 -2.827 0.999 GARCH(1,1)  
January 11, 2008 -0.947 0.999 Mean -0.16
January 12, 2008 -0.877 0.999 Alpha_0 0.608
January 13, 2008 1.209 0.999 Alpha_1 0.00
January 14, 2008 -1.669 0.999 Beta_1 0.391
January 15, 2008 0.835 0.999    
January 16, 2008 -0.266 0.999    
January 17, 2008 1.361 0.999    
January 18, 2008 -0.343 0.999    
January 19, 2008 0.475 0.999    
January 20, 2008 -1.153 0.999    
January 21, 2008 1.144 0.999    
January 22, 2008 -1.070 0.999    
January 23, 2008 -1.491 0.999    
January 24, 2008 0.686 0.999    
January 25, 2008 0.975 0.999    
January 26, 2008 -1.316 0.999    
January 27, 2008 0.125 0.999    
January 28, 2008 0.712 0.999    
January 29, 2008 -1.530 0.999    
January 30, 2008 0.918 0.999    
January 31, 2008 0.365 0.999    
February 1, 2008 -0.997 0.999    
February 2, 2008 -0.360 0.999    
February 3, 2008 1.347 0.999    
February 4, 2008 -1.339 0.999    
February 5, 2008 0.481 0.999    
February 6, 2008 -1.270 0.999    
February 7, 2008 1.710 0.999    
February 8, 2008 -0.125 0.999    
February 9, 2008 -0.940 0.999    

Files Examples

References

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