G Index Page

Keyword Index for the NAG Library Manual

NAG Library Manual

G05HKF | Univariate time series, generate n terms of either a symmetric GARCH process or a GARCH process with asymmetry of the form (ε_{t-1}+γ)^{2} |

G05HLF | Univariate time series, generate n terms of a GARCH process with asymmetry of the form (|ε_{t-1}|+γε_{t-1})^{2} |

G05HMF | Univariate time series, generate n terms of an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process |

G05HNF | Univariate time series, generate n terms of an exponential GARCH (EGARCH) process |

G13FAF | Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the
form (ε_{t-1}+γ)^{2} |

G13FBF | Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form
(ε_{t-1}+γ)^{2} |

G13FCF | Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|ε_{t-1}|+γε_{t-1})^{2} |

G13FDF | Univariate time series, forecast function for a GARCH process with asymmetry of the form (|ε_{t-1}|+γε_{t-1})^{2} |

G13FEF | Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process |

G13FFF | Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process |

G13FGF | Univariate time series, parameter estimation for an exponential GARCH (EGARCH) process |

G13FHF | Univariate time series, forecast function for an exponential GARCH (EGARCH) process |

G Index Page

Keyword Index for the NAG Library Manual

NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford UK. 2006