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

Keyword : GARCH

G05HKF   Univariate time series, generate n terms of either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt-1+γ)2
G05HLF   Univariate time series, generate n terms of a GARCH process with asymmetry of the form (|εt-1|+γεt-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 (εt-1+γ)2
G13FBF   Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt-1+γ)2
G13FCF   Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|εt-1|+γεt-1)2
G13FDF   Univariate time series, forecast function for a GARCH process with asymmetry of the form (|εt-1|+γεt-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