| 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 | |
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 |