G05PDF | Generates a realisation of a time series from a GARCH process with asymmetry of the form ${\left({\epsilon}_{t-1}+\gamma \right)}^{2}$ |

G05PEF | Generates a realisation of a time series from a GARCH process with asymmetry of the form ${\left(\left|{\epsilon}_{t-1}\right|+\gamma {\epsilon}_{t-1}\right)}^{2}$ |

G05PFF | Generates a realisation of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process |

G05PGF | Generates a realisation of a time series from an exponential GARCH (EGARCH) process |

G05PHF | Generates a realisation of a time series from an ARMA model |

G05PJF | Generates a realisation of a multivariate time series from a VARMA model |

G13AAF | Univariate time series, seasonal and non-seasonal differencing |

G13ABF | Univariate time series, sample autocorrelation function |

G13ACF | Univariate time series, partial autocorrelations from autocorrelations |

G13ADF | Univariate time series, preliminary estimation, seasonal ARIMA model |

G13AEF | Univariate time series, estimation, seasonal ARIMA model (comprehensive) |

G13AFF | Univariate time series, estimation, seasonal ARIMA model (easy-to-use) |

G13AGF | Univariate time series, update state set for forecasting |

G13AHF | Univariate time series, forecasting from state set |

G13AJF | Univariate time series, state set and forecasts, from fully specified seasonal ARIMA model |

G13ASF | Univariate time series, diagnostic checking of residuals, following G13AEF or G13AFF |

G13BAF | Multivariate time series, filtering (pre-whitening) by an ARIMA model |

G13BBF | Multivariate time series, filtering by a transfer function model |

G13BCF | Multivariate time series, cross-correlations |

G13BDF | Multivariate time series, preliminary estimation of transfer function model |

G13BEF | Multivariate time series, estimation of multi-input model |

G13BGF | Multivariate time series, update state set for forecasting from multi-input model |

G13BHF | Multivariate time series, forecasting from state set of multi-input model |

G13BJF | Multivariate time series, state set and forecasts from fully specified multi-input model |

G13CAF | Univariate time series, smoothed sample spectrum using rectangular, Bartlett, Tukey or Parzen lag window |

G13CBF | Univariate time series, smoothed sample spectrum using spectral smoothing by the trapezium frequency (Daniell) window |

G13CCF | Multivariate time series, smoothed sample cross spectrum using rectangular, Bartlett, Tukey or Parzen lag window |

G13CDF | Multivariate time series, smoothed sample cross spectrum using spectral smoothing by the trapezium frequency (Daniell) window |

G13CEF | Multivariate time series, cross amplitude spectrum, squared coherency, bounds, univariate and bivariate (cross) spectra |

G13CFF | Multivariate time series, gain, phase, bounds, univariate and bivariate (cross) spectra |

G13CGF | Multivariate time series, noise spectrum, bounds, impulse response function and its standard error |

G13DBF | Multivariate time series, multiple squared partial autocorrelations |

G13DDF | Multivariate time series, estimation of VARMA model |

G13DJF | Multivariate time series, forecasts and their standard errors |

G13DKF | Multivariate time series, updates forecasts and their standard errors |

G13DLF | Multivariate time series, differences and/or transforms |

G13DMF | Multivariate time series, sample cross-correlation or cross-covariance matrices |

G13DNF | Multivariate time series, sample partial lag correlation matrices, ${\chi}^{2}$ statistics and significance levels |

G13DPF | Multivariate time series, partial autoregression matrices |

G13DSF | Multivariate time series, diagnostic checking of residuals, following G13DDF |

G13EAF | Combined measurement and time update, one iteration of Kalman filter, time-varying, square root covariance filter |

G13EBF | Combined measurement and time update, one iteration of Kalman filter, time-invariant, square root covariance filter |

G13FAF | Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form ${\left({\epsilon}_{t-1}+\gamma \right)}^{2}$ |

G13FBF | Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form ${\left({\epsilon}_{t-1}+\gamma \right)}^{2}$ |

G13FCF | Univariate time series, parameter estimation for a GARCH process with asymmetry of the form ${\left(\left|{\epsilon}_{t-1}\right|+\gamma {\epsilon}_{t-1}\right)}^{2}$ |

G13FDF | Univariate time series, forecast function for a GARCH process with asymmetry of the form ${\left(\left|{\epsilon}_{t-1}\right|+\gamma {\epsilon}_{t-1}\right)}^{2}$ |

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 |

X05AAF | Return date and time as an array of integers |

X05ABF | Convert array of integers representing date and time to character string |

X05ACF | Compare two character strings representing date and time |

X05BAF | Return the CPU time |

© The Numerical Algorithms Group Ltd, Oxford UK. 2013