UnivariateGARCH Class

Univariate GARCH(p, q) parameter estimation with Gaussian innovations.

Inheritance Hierarchy

SystemObject
FinMath.TimeSeriesModelsUnivariateGARCH

Namespace: FinMath.TimeSeriesModels
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170

Syntax

[SerializableAttribute]
public class UnivariateGARCH

The UnivariateGARCH type exposes the following members.

Constructors

	Name	Description
	UnivariateGARCH	Creates an instance of class that estimates parameters of univariate GARCH(1, 1) process.
	UnivariateGARCH(Int32, Int32)	Creates an instance of class that estimates parameters of univariate GARCH(p, q) process.

Properties

	Name	Description
	Alpha	Q-by-1 vector of estimated coefficients, where Q is the number of lags of the squared innovations included in the GARCH process.
	Beta	P-by-1 vector of estimated coefficients, where P is the number of lags of the conditional variance included in the GARCH process.
	ConditionalVariance	T-by-1 vector of conditional variances (volatility).
	Kappa	The estimated scalar constant term of the GARCH process.
	LogLikelihood	Log likelihood function value calculated using estimated parameters.
	Theta	The estimated GARCH parameters.

Methods

	Name	Description
	Equals	Determines whether the specified object is equal to the current object. (Inherited from Object.)
	Estimate(Vector)	Estimates univariate GARCH(p, q) parameters with Gaussian innovations.
	Estimate(Vector, Vector)	Estimates univariate GARCH(p, q) parameters with Gaussian innovations.
	Forecast(Int32)	Returns forecast of conditional variance for next count observations.
	Forecast(Vector, Int32)	Returns forecast of conditional variance for next count observations starting with given residuals.
	GetHashCode	Serves as the default hash function. (Inherited from Object.)
	GetType	Gets the Type of the current instance. (Inherited from Object.)
	ToString	Returns a string that represents the current object. (Inherited from Object.)