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 |
library("times") ; loads the quantlets from times library randomize(0) dax=read("dax") ; monthly DAX 1979:1-2000:10 daxreturn=tdiff(log(dax)) ; generates the monthly return z=archest(daxreturn,1,1) z{1}{1} ; Parameter Estimates z{2} ; Standard Errors z{3} ; Likelihood timeplot(z{4}, 261) ; Plot of Volatility Estimate
Contents of minimum [1,] 0.0024817 [2,] 0.13412 [3,] 0.10404 Contents of stderr [1,] 0.0014225 [2,] 0.10998 [3,] 0.42943 Contents of lik [1,] 381.48 "For reading convenience the graphical output has been omitted."
library("times") ; loads the quantlets from times library randomize(0) ; Seeding Initial Values x=normal(100) ; Generates normal distributed values z=archest(x,1,1) z{1}{1} ; Parameter Estimates
Contents of minimum [1,] 0.48528 [2,] 0.0026728 [3,] 0.53451