UnivariateGARCHEstimate Method (Vector, Vector)

Estimates univariate GARCH(p, q) parameters with Gaussian innovations.

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

Syntax

public void Estimate(
	Vector residuals,
	Vector parameters
)

residuals: Type: FinMath.LinearAlgebraVector
Single column vector of random disturbances, that is, the residuals or innovations, of an econometric model representing a mean-zero, discrete-time stochastic process.
parameters: Type: FinMath.LinearAlgebraVector
Single column vector of initial parameters.

UnivariateGARCHAddLanguageSpecificTextSet("LST84239FC8_0?cpp=::|nu=.");Estimate Method (Vector, Vector)