# 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 + \gamma)2 G05HLF Univariate time series, generate n terms of a GARCH process with asymmetry of the form (|εt-1| + \gamma εt-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 + \gamma)2 G13FBF Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt-1 + \gamma)2 G13FCF Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|εt-1| + \gamma εt-1)2 G13FDF Univariate time series, forecast function for a GARCH process with asymmetry of the form (|εt-1| + \gamma εt-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, forecast function for an exponential GARCH (EGARCH) process G13FHF Univariate time series, forecast function for an exponential GARCH (EGARCH) process

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© The Numerical Algorithms Group Ltd, Oxford UK. 2001