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Download a pdf copy of this help file here |
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Download a pdf copy of this help file here |
See also: Time series in ModelRisk
VoseTimeARCH(Mu, Omega, A, Y0, LogReturn,
LastValue)
Array
function that models an autoregressive
conditional heteroskedasticity time series of order 1.
Mu - the percentage drift.
Omega - the constant coefficient of the variance equation.
A - autoregressive parameter
Y0 - the logreturn at period 0
LogReturn - Optional boolean parameter (TRUE/FALSE) specifying whether to return the actual time series (FALSE, default) or log returns (TRUE).
LastValue - last known historic value. The generated time series values will continue on from this value. Should only be provided if the LogReturn parameter is set to FALSE or omitted.
As the Vose Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Time Series window for these.
VoseTimeARCH - generates an array of random values from this time series.
VoseTimeARCHFit - generates an array of random values from this time series fitted to data.
VoseTimeARCHFitP - returns the parameters of this time series fitted to data.