NAG Library Manual, Mark 30
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NAG CL Interface Introduction
Example description
/* nag_tsa_uni_garch_gjr_estim (g13fec) Example Program.
 *
 * Copyright 2024 Numerical Algorithms Group.
 *
 * NAG C Library
 *
 * Mark 30.0, 2024.
 *
 */
#include <ctype.h>
#include <math.h>
#include <nag.h>
#include <stdio.h>

#define X(I, J) x[(I)*tdx + (J)]

int main(void) {
  /* Integer scalar and array declarations */
  Integer exit_status = 0;
  Integer i, j, k, npar, tdc, tdx, lr, lstate;
  Integer *state = 0;

  /* NAG structures and data types */
  NagError fail;
  Nag_Boolean fcall;

  /* Double scalar and array declarations */
  double fac1, pht, lgf, xterm;
  double *covar = 0, *cvar = 0, *etm = 0, *ht = 0;
  double *htm = 0, *r = 0, *sc = 0, *se = 0, *theta = 0;
  double *x = 0, *yt = 0;

  /* Choose the base generator */
  Nag_BaseRNG genid = Nag_Basic;
  Integer subid = 0;

  /* Set the seed */
  Integer seed[] = {1762543};
  Integer lseed = 1;

  /* Set parameters for the (randomly generated) time series ... */
  /* Generate data assuming normally distributed errors */
  Nag_ErrorDistn dist = Nag_NormalDistn;
  double df = 0;

  /* Size of the time series */
  Integer num = 1000;

  /* MA and AR parameters */
  Integer ip = 1;
  Integer iq = 1;
  double param[] = {0.4, 0.1, 0.7};

  /* Asymmetry parameter */
  double gamma = 0.1;

  /* Regression parameters */
  Integer nreg = 2;
  double mean = 4.0;
  double bx[] = {1.5, 2.5};
  /* ... end of parameters for (randomly generated) time series */

  /* When fitting a model to the time series ... */
  /* Include mean in the model */
  Integer mn = 1;

  /* Use the following maaximum number of iterations and tolerance */
  Integer maxit = 50;
  double tol = 1e-12;

  /* Enforce stationary conditions */
  Nag_Garch_Stationary_Type stat_opt = Nag_Garch_Stationary_True;

  /* Estimate initial values for regression parameters */
  Nag_Garch_Est_Initial_Type est_opt = Nag_Garch_Est_Initial_True;

  /* Set the number of values to forecast from the fitted model */
  Integer nt = 6;
  /* ... end of model fitting options */

  /* Initialize the error structure */
  INIT_FAIL(fail);

  printf("nag_tsa_uni_garch_gjr_estim (g13fec) Example Program Results \n\n");

  /* Get the length of the state array */
  lstate = -1;
  nag_rand_init_repeat(genid, subid, seed, lseed, state, &lstate, &fail);
  if (fail.code != NE_NOERROR) {
    printf("Error from nag_rand_init_repeat (g05kfc).\n%s\n", fail.message);
    exit_status = 1;
    goto END;
  }

  /* Derive various amounts */
  npar = iq + ip + 1;
  tdx = nreg;
  tdc = npar + mn + nreg + 1;

  /* Calculate the size of the reference vector */
  lr = 2 * (iq + ip + 2);

  if (!(covar = NAG_ALLOC((npar + mn + nreg + 1) * tdc, double)) ||
      !(etm = NAG_ALLOC(num, double)) || !(ht = NAG_ALLOC(num, double)) ||
      !(htm = NAG_ALLOC(num, double)) || !(r = NAG_ALLOC(lr, double)) ||
      !(state = NAG_ALLOC(lstate, Integer)) ||
      !(sc = NAG_ALLOC(npar + mn + nreg + 1, double)) ||
      !(se = NAG_ALLOC(npar + mn + nreg + 1, double)) ||
      !(theta = NAG_ALLOC(npar + mn + nreg + 1, double)) ||
      !(cvar = NAG_ALLOC(nt, double)) || !(x = NAG_ALLOC(num * tdx, double)) ||
      !(yt = NAG_ALLOC(num, double))) {
    printf("Allocation failure\n");
    exit_status = -1;
    goto END;
  }

  /* Initialize the generator to a repeatable sequence */
  nag_rand_init_repeat(genid, subid, seed, lseed, state, &lstate, &fail);
  if (fail.code != NE_NOERROR) {
    printf("Error from nag_rand_init_repeat (g05kfc).\n%s\n", fail.message);
    exit_status = 1;
    goto END;
  }

  /* Set up the time dependent exogenous matrix x */
  for (i = 0; i < num; ++i) {
    fac1 = (double)(i + 1) * 0.01;
    X(i, 1) = sin(fac1) * 0.7 + 0.01;
    X(i, 0) = fac1 * 0.1 + 0.5;
  }

  /* Generate a realization of a random GARCH GJR time series and discard it */
  fcall = Nag_TRUE;
  nag_rand_times_garch_gjr(dist, num, ip, iq, param, gamma, df, ht, yt, fcall,
                           r, lr, state, &fail);
  if (fail.code != NE_NOERROR) {
    printf("Error from nag_rand_times_garch_gjr (g05pfc).\n%s\n", fail.message);
    exit_status = 1;
    goto END;
  }

  /* Generate a realization of a random GARCH GJR time series to use */
  fcall = Nag_FALSE;
  nag_rand_times_garch_gjr(dist, num, ip, iq, param, gamma, df, ht, yt, fcall,
                           r, lr, state, &fail);
  if (fail.code != NE_NOERROR) {
    printf("Error from nag_rand_times_garch_gjr (g05pfc).\n%s\n", fail.message);
    exit_status = 1;
    goto END;
  }

  /* Adjust the randomly generated time series to take into account for the
     exogenous matrix x */
  for (i = 0; i < num; ++i) {
    xterm = 0.0;
    for (k = 0; k < nreg; ++k)
      xterm += X(i, k) * bx[k];

    if (mn == 1)
      yt[i] = mean + xterm + yt[i];
    else
      yt[i] = xterm + yt[i];
  }

  /* Set initial estimates for the parameters */
  for (i = 0; i < npar; ++i)
    theta[i] = param[i] * 0.5;
  theta[npar] = gamma * 0.5;
  if (mn == 1)
    theta[npar + 1] = mean * 0.5;
  for (i = 0; i < nreg; ++i)
    theta[npar + 1 + mn + i] = bx[i] * 0.5;

  /* nag_tsa_uni_garch_gjr_estim (g13fec).
   * Univariate time series, parameter estimation for an
   * asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH
   * process
   */
  nag_tsa_uni_garch_gjr_estim(yt, x, tdx, num, ip, iq, nreg, mn, theta, se, sc,
                              covar, tdc, &pht, etm, htm, &lgf, stat_opt,
                              est_opt, maxit, tol, &fail);
  if (fail.code != NE_NOERROR) {
    printf("Error from nag_tsa_uni_garch_gjr_estim (g13fec).\n%s\n",
           fail.message);
    exit_status = 1;
    goto END;
  }

  /* Display the results */
  printf("       Parameter estimates     Standard errors       "
         "Correct values\n");
  for (j = 0; j < npar; ++j)
    printf("%20.4f             (%6.4f) %20.4f\n", theta[j], se[j], param[j]);
  printf("%20.4f             (%6.4f) %20.4f\n", theta[npar], se[npar], gamma);
  if (mn)
    printf("%20.4f             (%6.4f) %20.4f\n", theta[npar + 1], se[npar + 1],
           mean);
  for (j = 0; j < nreg; ++j)
    printf("%20.4f             (%6.4f) %20.4f\n", theta[npar + 1 + mn + j],
           se[npar + 1 + mn + j], bx[j]);

  /* Now forecast nt steps ahead */
  gamma = theta[npar];

  /* nag_tsa_uni_garch_gjr_forecast (g13ffc).
   * Univariate time series, forecast function for an
   * asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH
   * process
   */
  nag_tsa_uni_garch_gjr_forecast(num, nt, ip, iq, theta, gamma, cvar, htm, etm,
                                 &fail);
  printf("\n%" NAG_IFMT " step forecast = %8.4f\n", nt, cvar[nt - 1]);

END:
  NAG_FREE(covar);
  NAG_FREE(etm);
  NAG_FREE(ht);
  NAG_FREE(htm);
  NAG_FREE(sc);
  NAG_FREE(se);
  NAG_FREE(theta);
  NAG_FREE(cvar);
  NAG_FREE(x);
  NAG_FREE(yt);
  NAG_FREE(r);
  NAG_FREE(state);

  return exit_status;
}