GARCH_ERRORS - Estimated Errors of the Parameters Values

Returns an array of cells for the estimated error/standard deviation of a given model's parameters.

Syntax

GARCH_ERRORS ([x], order, µ, [α], [β], f, ν)

[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).
µ
Optional. Is the GARCH model long-run mean (i.e., mu). If missing, the process mean is assumed to be zero.
[α]
Required. Are the parameters of the ARCH(p) component model: [αo α1, α2 … αp] (starting with the lowest lag).
[β]
Optional. Are the parameters of the GARCH(q) component model: [β1, β2 … βq] (starting with the lowest lag).
F
Optional. Is the probability distribution function of the innovations/residuals (1 = Gaussian (default), 2 = t-Distribution, 3 = GED).
Value Probability Distribution
1 Gaussian or Normal Distribution (default).
2 Student's t-Distribution.
3 Generalized Error Distribution (GED).
ν
Optional. Is the shape parameter (or degrees of freedom) of the innovations/residuals’ probability distribution function.

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. For the input argument - ([α]) (parameters of the ARCH component):
    • The input argument is not optional.
    • The value in the first element must be positive.
    • The order of the parameters starts with the lowest lag.
    • One or more parameters may have missing values or error codes (i.e., #NUM!, #VALUE!, etc.).
    • In the case where alpha has one non-missing entry/element (first), no ARCH component is included.
    • The order of the ARCH component model is solely determined by the order (minus one) of the last value in the array with a numeric value (vs. missing or error).
  5. For the input argument - ([β]) (parameters of the GARCH component):
    • The input argument is optional and can be omitted, in which case no GARCH component is included.
    • The order of the parameters starts with the lowest lag.
    • One or more parameters may have missing values or error codes (i.e., #NUM!, #VALUE!, etc.).
    • The order of the GARCH component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
  6. The shape parameter (ν) is only used for non-Gaussian distributions and is otherwise ignored.
  7. For the student's t-distribution, the shape parameter’s value must be greater than four.
  8. For GED distribution, the shape parameter’s value must be greater than one.
  9. GARCH_ERRORS returns the standard errors for the model's parameters in the following order:
    1. $\mu $.
    2. ${\alpha _o},{\phi _1},...,{\phi _p}$.
    3. ${\beta _1},{\beta _2},...,{\theta _q}$.
    4. $\nu $.

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