VoseTimeAPARCH

See also: Time series in ModelRisk; Fitting in ModelRisk;Univariate Time Series Fit

VoseTimeAPARCH(Mu, Omega, Delta, Gamma, A, B, Sigma0, R0, E0, Log Return, Initial Value)

 

 

 

Array function that models an asymmetric power autoregressive conditional heteroskedasticity time series model of order (1,1).

  • Mu - mean log return;

  • Omega - the constant coefficient of the variance equation;

  • Delta - asymmetric power parameter;

  • Gamma - asymmetric power parameter;

  • A - autoregressive parameter;

  • B - moving average parameter;

  • Sigma0 - standard deviation of log return at period 0;

  • R0 - log return at period 0;

  • E0 - the error term at time zero;

  • Log Return - an optional parameter. Function generates log returns if set to TRUE, or variable values if set to FALSE or omitted;

  • Initial Value - starting value (at time zero). The generated time series values will continue on from this value. Should only be provided if the Log Return 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.

Equations

where:

 - a sample from a Normal(0,1)

- if   is the value of the variable at time t, then is the log return defined as

- log return mean

- leverage effect factor

- power (Taylor effect)

- log return standard deviation

- conditional variance constant

a -  ARCH effect factor

b - GARCH effect factor

VoseFunctions for this time series

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

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

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

 

ModelRisk

Monte Carlo simulation in Excel. Learn more

Tamara

Adding risk and uncertainty to your project schedule. Learn more

Navigation

FREE MONTE CARLO SIMULATION SOFTWARE

For Microsoft Excel

Download your free copy of ModelRisk Basic today. Professional quality risk modeling software and no catches

Download ModelRisk Basic now

FREE PROJECT RISK SOFTWARE

For Primavera & Microsoft Project

Download your free copy of Tamara Basic today. Professional quality project risk software and no catches.

Download Tamara Basic now
-->