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