Module NAG_GENERATE_GARCHGJR in NAGC

• NAGC Information

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

NAG_GENERATE_GARCHGJR

 
Generates a given number of a Glosten, Jagannathan and Runkle (GJR) GARCH(p,q)
process (see Glosten, et al. (1993)).
 
Classes  :  L6a20 . t and triangular random numbers, random time series
 
Type     : C subroutine in NAGC library (G05 sublibrary).
Access   : Proprietary. Many implementations available.
Precision: Double.
Note     : This procedure may also be invoked using the name g05hmc.
 
Usage    : void nag_generate_garchGJR (Integer num, Integer p, Integer q,
           const double theta[], double gamma, double ht[], double et[],
           Nag_Garch_Fcall_Type fcall, double rvec[], NagError *fail)
 
Details  : Documentation Local-details
Sites    : (1) ITL
 

Implementation of NAG_GENERATE_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 g05hmc.
 
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
   Documentation: acroread
                  /itl/apps/nagclib-6/docs/NAGdoc/cl/pdf/G05/g05hmc_cl06.pdf