garch.FLVector: 'garch' estimates the parameters of an univariate Generalized...
In Fuzzy-Logix/AdapteR: Converts R syntax to SQL to provide fast analytics using in-database C++ library DB Lytix.
Description
Usage
Arguments
Value
Examples
Description
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
Usage
1
2
Arguments
data
An object of class FLVector.
p
Total Number of ARCH terms INTEGER,.
q
Total Number of GARCH terms.
Valtype
.
Value
garch returns a data.frame
Examples
1
2
3
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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$stockreturn)
flmod <- garch.FLVector(flv, order = c(1,1), type = "Integrated")
Fuzzy-Logix/AdapteR documentation built on May 6, 2019, 5:07 p.m.
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Description Usage Arguments Value Examples
Description
garch estimates the parameters of an univariate Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model
The DB Lytix function called is FLGARCHpqUdt, FLARCHqUDT
and FLIGarchUdt depending on paramters
Usage
1 2 |
Arguments
data |
An object of class FLVector. |
p |
Total Number of ARCH terms INTEGER,. |
q |
Total Number of GARCH terms. |
Valtype |
. |
Value
garch returns a data.frame
Examples
1 2 3 4 5 6 7 8 9 | flt <- FLTable("tblbac_return", "ID")
flmod <- garch(flt$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")
|
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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