Library: | times |
See also: | nelmin |
Quantlet: | archest | |
Description: | estimates a GARCH process with mean zero by QMLE |
Usage: | y = archest(xx,q,p) | |
Input: | ||
xx | vector | |
q | 1 or 2 (can be extended) | |
p | 1 or 2 (can be extended) | |
Output: | ||
y | list containing 1. parameter estimates, 2. standard errors, 3. likelihood value, 4. volatility estimate |
library("times") randomize (0) x=normal(100) z=archest(x,1,1) z{1}{1}
Contents of minimum [1,] 0.48528 [2,] 0.0026728 [3,] 0.53451
Library: | times |
See also: | nelmin |