VoseTimeEGARCH

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See also: Time series in ModelRisk

VoseTimeEGARCH(Mu,Omega,Theta,A,B,E0,LogReturn,LastValue)

Array function that models an exponential general autoregressive conditional heteroskedasticity model, allowing negative values in the linear error variance equation with one-period dependence.

• Mu - the percentage drift.

• Omega - the constant coefficient of the variance equation.

• Theta - exponential parameter

• A - autoregressive parameter

• B - moving average parameter

• E0 - e 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 values will continue on from this value. Should only be provided if the LogReturn parameter is set to FALSE or omitted.

As the ModelRisk Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Time Series window.

VoseFunctions for this time series

VoseTimeEGARCH - generates an array of random values from this time series.

VoseTimeEGARCHFit - generates an array of random values from this time series fitted to data.

VoseTimeEGARCHFitP - returns the parameters of this time series fitted to data.