SmMarkovSwitchingGARCH

Assembly: 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.

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 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.

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