| 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