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

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

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, 21.9.2000