garchMFit#

Purpose#

Estimates GARCH-in-mean model.

Format#

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

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

gOut = garchMFit(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 – Optional input, garchControl structure.

Returns:

gOut – garchEstimation structure.

Example#

new;
library tsmt;


// Declare 'c1' to be a garchControl struct
// and fill with default values
struct garchControl c1;
c1 = garchControlCreate();

// Assign pointer to procedure (defined below)
// to apply settings for internal optimization
 c1.sqpsolvemtControlProc = &sqp;

proc sqp(struct sqpsolvemtControl c0);
  c0.printiters = 0;
  c0.trustRadius = 0;
  c0.feasibletest = 0;
  c0.gradproc = 0;
  retp(c0);
endp;

struct garchEstimation gOut;
gOut = garchMFIT(__FILE_DIR $+ "garchx.gdat" ,"Y ~ X1 + X2", 1, 1, c1);

This prints the following out:

================================================================================
Model:                  GARCHM(1,1)          Dependent variable:               Y
Time Span:                  Unknown          Valid cases:                   1000
================================================================================
                             Coefficient            Upper CI            Lower CI

          beta0[1,1]             0.02920            -0.01682             0.07522
           beta[1,1]             0.40281             0.39450             0.41111
           beta[2,1]             0.50075             0.49216             0.50934
          garch[1,1]             0.11534            -0.21655             0.44723
           arch[1,1]             0.25821             0.14992             0.36650
          delta[1,1]            -0.07041            -0.39261             0.25179
          omega[1,1]             0.01378             0.00702             0.02054
================================================================================

                AIC:                                                  1040.04992
                LRS:                                                  1026.04992

Library#

tsmt

Source#

tsgarch.src