Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: nelmin

Macro: 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

Example:
library("times")
randomize (0)
x=normal(100)
z=archest(x,1,1)
z{1}{1}
Result:
Contents of minimum   
[1,]  0.48528 
[2,]  0.0026728 
[3,]  0.53451 

Library: times
See also: nelmin

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Christian Hafner, 960814
(C) MD*TECH Method and Data Technologies, 28.6.1999