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GAMS Classification for the NAG Library
NAG Library Manual

L10a2 : Time domain analysis

G13FAF    Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form εt-1+γ2
G13FBF    Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form εt-1+γ2
G13FCF    Univariate time series, parameter estimation for a GARCH process with asymmetry of the form εt-1+γεt-12
G13FDF    Univariate time series, forecast function for a GARCH process with asymmetry of the form εt-1+γεt-12
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

L10a2a:  Summary statistics  (3 routines)
L10a2b:  Stationarity analysis (search also class L10a2a)  (1 routine)
L10a2c:  Autoregressive models  (1 routine)
L10a2d:  ARMA and ARIMA models (including Box--Jenkins methods)  (9 routines)
L10a2e:  State-space analysis (e.g., Kalman filtering)  (2 routines)
L10a2f:  Analysis of a locally stationary series  (1 routine)

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GAMS Classification for the NAG Library
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© The Numerical Algorithms Group Ltd, Oxford UK. 2013