SmMarkovSwitchingGARCH

Assembly: Stat;

Namespace: Prognoz.Platform.Interop.Stat;

Description

The SmMarkovSwitchingGARCH class is used to work with MS-GARCH model (Markov switching GARCH) with one variable parameter: average variance value.

Comments

Markov-switching GARCH model is an advanced GARCH model, which can describe variance state change.

Fore.NET Syntax

Class to get analog of the SmMarkovSwitchingGARCH class:

None

The class used to get the analog of object of the SmMarkovSwitchingGARCH class:

SmMarkovSwitchingGARCHClass;

Properties inherited from ISmMarkovSwitchingGARCH

	Property name	Brief description
	ARCHCoefficients	The ARCHCoefficients property returns estimates of coefficients of autoregression of conditional heteroscedasticity (ARCH) of the model and their characteristics.
	ARCHOrder	The ARCHOrder property determines the order of autoregression of conditional heteroscedasticity (ARCH).
	ConditionalStateProbabilities	The ConditionalStateProbabilities property returns a series of transition probabilities for each period of time.
	Explained	The Explained property determines an explained series.
	Explanatories	The Explanatories property determines explanatory variables.
	Fitted	The Fitted property returns a modeling series.
	Forecast	The Forecast property returns parameters of forecasting series.
	GARCHCoefficients	The GARCHCoefficients property returns estimates of coefficients of autoregression of conditional heteroscedasticity (ARCH) for the model and their characteristics.
	GARCHConst	The GARCHConst property returns estimate of the GARCH constant μ1.
	GARCHConst1	The GARCHConst property returns estimate of the GARCH constant μ1.
	GARCHOrder	The GARCHOrder property determines the order of generalized autoregression of conditional heteroscedasticity (GARCH).
	MCMCParameters	The MCMCParameters property returns parameters of the Markov Chain Monte Carlo algorithm.
	MissingData	The MissingData property determines missing data treatment parameters.
	ModelPeriod	The ModelPeriod property determines sample period parameters.
	P00	The P11 property returns estimates of parameters of switching from 0 to 0 state.
	P00Distribution	The P00Distribution property determines parameters of distribution for probability of switching from 0 to 0 state.
	P11	The P11 property returns estimates of parameters of switching from 1 to 1 state.
	P11Distribution	The P00Distribution property determines parameters of distribution for probability of switching from 1 to 1 state.
	RegressionCoefficients	The RegressionCoefficients property returns estimates of model coefficients and their characteristics.
	Residuals	The Residuals property returns a residual series.
	ResidualsDispersion	The ResidualsDispersion property returns a residual variances series.
	ResidualsDispersionForecast	The ResidualsDispersionForecast property returns residual variances forecast.
	SummaryStatistics	The SummaryStatistics property returns descriptive statistics of a model.
	UseDefaultInitDistribution	The UseDefaultInitDistribution property determines whether default values are used.

Properties inherited from IStatMethod

	Property name	Brief description
	DisplayName	The DisplayName property returns the displayed method name.
	ErrorByStatus	The ErrorByStatus property returns an error message by the error number.
	Errors	The Errors property returns a message with all the errors and warnings.
	Name	The Name property returns the internal method name.
	PerformanceTime	The PerformanceTime property returns method execution time.
	Status	The Status property returns the method execution status.
	SupportsR	The SupportsR property returns whether statistical method can be calculated via R package.
	UseR	The UseR property determines whether statistical method is calculated via the R package.
	WarningByStatus	The WarningByStatus property returns a warning text by its number.
	Warnings	The Warnings property returns the warnings that occurred at method calculation.
	WarningsCount	The WarningsCount property returns the number of warnings that occurred at the method calculation.
	WarningsNumbers	The WarningsNumbers property returns numbers of warnings that occurred at the method calculation.

Methods inherited from IStatMethod

	Method Name	Brief description
	Clone	The Clone method clones a statistical method object.
	Execute	The Execute method executes a statistical method.
	LoadFromXML	The LoadFromXML method loads statistical method settings from XML code.
	SaveToXML	The SaveToXML method unloads statistical method settings to XML code.

See also:

Stat Assembly Classes