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
- 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.
- The number of parameters in the input argument - alpha - determines the order of the ARCH component model.
- The number of parameters in the input argument - beta - determines the order of the GARCH component model.
Examples
Example 1:
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Files Examples
References
- Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
- Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
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