Module NAG_ESTIMATE_GARCHGJR in NAGC

• NAGC Information

• Components
  • Documentation from ITL
  • Example from ITL
  • Example-output from ITL
  • Local-details from ITL

NAG_ESTIMATE_GARCHGJR

 
Univariate time series, parameter estimation for an asymmetric Glosten,
Jagannathan and Runkle (GJR) GARCH process.
 
Classes  :  L10a2 . Time domain time series analysis
 
Type     : C subroutine in NAGC library (G13 sublibrary).
Access   : Proprietary. Many implementations available.
Precision: Double.
Note     : This procedure may also be invoked using the name g13fec.
 
Usage    : void nag_estimate_garchGJR (const double yt[], const double x[],
           Integer tdx, Integer num, Integer p, Integer q, Integer nreg,
           Integer mn, double theta[], double se[], double sc[], double
           covar[], Integer tdc, double *hp, double et[], double ht[], double
           *lgf, Nag_Garch_Stationary_Type stat_opt,
           Nag_Garch_Est_Initial_Type est_opt, Integer max_iter, double
           tol, NagError *fail)
 
Details  : Documentation Example Example-output Local-details
Sites    : (1) ITL
 

Implementation of NAG_ESTIMATE_GARCHGJR from NAGC on ITL

 
ITL:       Unix Workstation Network, National Institute of Standards and
           Technology (NIST), Gaithersburg, MD. Available to NIST staff.
 
Precision: Double.
Note     : This procedure may also be invoked using the name g13fec.
 
Access available only to NIST staff on internal Unix systems. They may access this
package provided the /itl tree is cross-mounted.
 
   Link         : cc -I/itl/links/generic/include -o prog prog.c
                  -L/itl/links/generic/{lib lib32 lib64}{/mips3 /mips4}
                  -lnagc -lm
   Local-details: cat /itl/apps/nagclib-6/docs/implementation
   Example      : cat
                  /itl/apps/nagclib-6/clsol06da/examples/source/g13fece.c
   Example-outpu: cat
                  /itl/apps/nagclib-6/clsol06da/examples/results/g13fece.r
   Documentation: acroread
                  /itl/apps/nagclib-6/docs/NAGdoc/cl/pdf/G13/g13fec_cl06.pdf