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, 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

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.

Files Examples

Related Links

• Wikipedia - Autoregressive conditional heteroskedasticity.

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.