Returns an array of cells for the estimated error/standard deviation of a given model's parameters.
Syntax
GARCH_ERRORS(X, Order, Model)
- X
- is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).
- Order
- is the time order of the data series (i.e., whether the first data point corresponds to the earliest or latest 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). - Model
- is the GARCH model representation array (a one-dimensional array of cells (e.g., rows or columns)) (see GARCH function).
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.
Files Examples
Related Links
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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