igarchFit#

Purpose#

Estimates integrated GARCH model, i.e., a model containing a unit root.

Format#

gOut = igarchFit(y, p[, q, gCtl])#
gOut = igarchFit(y, x, p[, q, gCtl])
gOut = igarchFit(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;
cls;
library tsmt;

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

struct garchEstimation gOut;
gOUt = igarchFit(y, 1, 1);

This prints the following output:

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

          beta0[1,1]             0.02710            -0.04224             0.09644
          garch[1,1]             0.81404             0.71688             0.91120
           arch[1,1]             0.18596             0.06604             0.30587
          omega[1,1]             0.01468            -0.00739             0.03675
================================================================================

                AIC:                                                  -635.63652
                LRS:                                                  -643.63652

Library#

tsmt

Source#

tsgarch.src

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