Stat Assembly > Stat Assembly Classes > SmGARCH
The SmGARCH class implements algorithm of the generalized autoregressive conditionally heteroscedastic model (GARCH model).
| Property name | Brief description | |
 |
ARCHOrder | The ARCHOrder property determines autoregression order of conditional heteroscedasticity. |
|
ARMA | The ARMA property returns autoregression and moving average parameters. |
|
AssymetryOrder | The AssymetryOrder property determines asymmetry order. |
|
CovarianceMatrix | The CovarianceMatrix property returns covariance matrix values. |
|
Explained | The Explained property determines the explained series parameters. |
|
Explanatories | The Explanatories property determines explanatory series. |
|
Fitted | The Fitted property returns a modeling series. |
|
Forecast | The Forecast property determines parameters of forecasting series. |
|
GARCHCoefficients | The GARCHCoefficients property returns estimates of coefficients in autoregression conditional heteroscedasticity and generalized autoregression conditional heteroscedasticity. |
|
GARCHOrder | The GARCHOrder property determines the order of generalized autoregression conditional heteroscedasticity. |
|
GARCHSpec | The GARCHSpec property determines type of GARCH model. |
|
Intercept | The Intercept method determines parameters of model constant. |
|
LikelihoodFunctionValue | The LikelihoodFunctionValue property returns the optimal value of the likelihood function. |
|
MaxIteration | The MaxIteration property determines the maximum number of iterations for an optimization method. |
|
MissingData | The MissingData property determines missing data treatment parameters. |
|
ModelPeriod | The ModelPeriod property determines sample period parameters. |
|
OptimizationMethod | The OptimizationMethod property determines the optimization method in use. |
|
RegressionCoefficients | The RegressionCoefficients property determines parameters of regression coefficients for a model. |
|
Residuals | The Residuals property returns a residual series. |
|
ResidualsDispersion | The ResidualsDispersion property returns residuals variance. |
|
ResidualsDispersionForecast | The ResidualsDispersionForecast property returns residuals variance forecast. |
|
StationarityCondition | The StationarityCondition property determines the use of the stationarity condition. |
|
SummaryStatistics | The SummaryStatistics property returns summary statistics. |
|
Tolerance | The Tolerance property determines accuracy. |
|
UseDefaultInitValues | The UseDefaultInitValues property determines whether default initial approximations are used. |
| 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 on method calculation. |
|
WarningsCount | The WarningsCount property returns the number of warnings that occurred on method calculation. |
|
WarningsNumbers | The WarningsNumbers property returns numbers of the warnings that occurred on method calculation. |
| 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:
