Description Usage Arguments Value Examples
garch
estimates the parameters of an univariate Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model
The DB Lytix function called is FLGARCHpqUdt, FLARCHqUDT
and FLIGarchUdt depending on paramters
1 2 |
data |
An object of class FLVector. |
p |
Total Number of ARCH terms INTEGER,. |
q |
Total Number of GARCH terms. |
Valtype |
. |
garch
returns a data.frame
1 2 3 4 5 6 7 8 9 | flt <- FLTable("tblbac_return", "ID")
flmod <- garch(flt$stockreturn, order = c(1,1))
ARCHqUDT Example.
rv <- sqlQuery(connection, "SELECT stockprice FROM tblbac")
flv <- as.FL(rv$stockprice)
flmod <- garch.FLVector(flv, order = c(0,1))
rv <- sqlQuery(connection, "SELECT stockreturn FROM tblbac_return")
flv <- as.FL(rv$stockreturn)
flmod <- garch.FLVector(flv, order = c(1,1), type = "Integrated")
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