G Index Page
Keyword Index for the NAG C Library Manual
NAG C Library Manual

Keyword : GARCH

g05pec   Generates a realization of a time series from a GARCH process with asymmetry of the form (|εt1| + γεt1)2
g05pfc   Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g05pgc   Generates a realization of a time series from an exponential GARCH (EGARCH) process
g13fac   Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt1 + γ)2
g13fbc   Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt1 + γ)2
g13fcc   Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|εt1| + γεt1)2
g13fdc   Univariate time series, forecast function for a GARCH process with asymmetry of the form (|εt1| + γεt1)2
g13fec   Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g13ffc   Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process

G Index Page
Keyword Index for the NAG C Library Manual
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford UK. 2012