garchFit#

Purpose#

Estimates univariate GARCH model.

Format#

gOut = garchFit(y, p[, q, gctl])#

gOut = garchFit(y, x, p[, q, gctl])

gOut = garchFit(dataset, formula, p[, q, gctl])

Parameters:

y (Matrix) – dependent variables.
x (Matrix) – independent variables.
dataset (string) – name of data set or null string.
formula (string) – formula string of the model. E.g. "y ~ X1 + X2" ‘y’ is the name of dependent variable, ‘X1’ and ‘X2’ are names of independent variables; E.g. "y ~ ." , ‘.’ means including all variables except dependent variable ‘y’;
p (scalar) – order of the GARCH parameters.
q (scalar) – Optional input, order of the ARCH parameters.
gctl (struct) – Optional input, garchControl structure.

Returns:

gOut (struct) – garchEstimation structure containing the following members:

Example#

new;
cls,;
library tsmt;

y = loadd(getGAUSSHome("pkgs/tsmt/examples/garch.dat"));

struct garchEstimation gOut;
gOut = garchFit(y, 1, 1);

This prints the following output:

================================================================================
Model:                   GARCH(1,1)          Dependent variable:               Y
Time Span:                  Unknown          Valid cases:                    300
================================================================================
                             Coefficient            Upper CI            Lower CI

          beta0[1,1]             0.01208            -0.00351             0.02768
          garch[1,1]             0.15215            -0.46226             0.76655
          arch[1,1]              0.18499             0.01761             0.35236
          omega[1,1]             0.01429             0.00182             0.02675
================================================================================

                AIC:                                                   315.54085
                LRS:                                                   307.54085

Library#

tsmt

Source#

tsgarch.src