UnivariateGARCH Properties |
The UnivariateGARCH type exposes the following members.
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.
|
See Also