ISmGARCH.ARMA

Syntax

Description

The ARMA property returns autoregression and moving average parameters.

Comments

Be default autoregression order and moving average order are not specified.

Example

To execute the example, add a link to the Stat system assembly.

Sub Print(Data: Array Of Double);
    Var
        i: Integer;
    Begin
        Debug.Indent;
        For i := 0 To Data.Length - 1 Do
            If Double.IsNan(Data[i]) Then
                Debug.WriteLine("----empty---");
                Else
                    Debug.WriteLine(i.ToString + " " + Data[i].ToString);
            End If;
        End For;
    Debug.Unindent;
End Sub Print;

Sub UserProc;
Var
    GARCH: ISmGARCH;
    W: Array[12] Of Double;
    X: Array[20] Of Double;
    ARMA: ISlARMAGARCH;
    Inits: Array[1] Of Double;
    res, i: Integer;
    d: Double;
    CoefficientsAR, CoefficientsMA, GARCHCoef, RegrCoef: ICoefficients;
    ModelCoefficients: IGARCHCoefficients;
Begin
    GARCH := New SmGARCH.Create;
    // Set explained series values
    w[0] := 2; w[4] := -1.9; w[8] := -0.7;
    w[1] := 0.8; w[5] := Double.Nan; w[9] := Double.Nan;
    w[2] := -0.3; w[6] := 3.2; w[10] := 4.3;
    w[3] := -0.3; w[7] := 1.6; w[11] := 1.1;
    GARCH.Explained.Value := w;
    // Set explanatory series values
    x[0] := Double.Nan; x[10] := 11;
    x[1] := 2; x[11] := 12;
    x[2] := 3; x[12] := 13;
    x[3] := 4; x[13] := Double.Nan;
    x[4] := 5; x[14] := 15;
    x[5] := 6; x[15] := 16;
    x[6] := Double.Nan; x[16] := 17;
    x[7] := 8; x[17] := Double.Nan;
    x[8] := 9; x[18] := 19;
    x[9] := 10; x[19] := 20;
    // Set sample period
    GARCH.ModelPeriod.FirstPoint := 1;
    GARCH.ModelPeriod.LastPoint := 12;
    GARCH.Forecast.LastPoint := 19;
    // Specify missing data treatment method
    GARCH.MissingData.Method := MissingDataMethod.AnyValue;
    // Set explanatory series
    GARCH.Explanatories.Clear;
    GARCH.Explanatories.Add.Value := X;
    // Set initial approximation of exogenous variable
    GARCH.Explanatories.Item(0).InitValue := 0.7;
    ModelCoefficients := GARCH.GARCHCoefficients;
    //Set initial approximation of constant
    GARCH.Intercept.Mode := InterceptMode.AutoEstimate;
    //Use initial values used by default
    GARCH.UseDefaultInitValues := True;
    // Set parameters of autoregression and moving average
    GARCH.ARMA.ParseAR("2", True);
    GARCH.ARMA.ParseMA("1", True);
    ARMA := GARCH.ARMA;
    // Determine stationarity condition
    GARCH.StationarityCondition := False;
    // Set maximum number of iterations for method calculation
    GARCH.MaxIteration := 100;
    // Set calculation accuracy
    GARCH.Tolerance := 0.01;
    // Set autoregression order for conditional heteroscedasticity
    GARCH.ARCHOrder := 1;
    // Set general autoregression order for conditional heteroscedasticity
    GARCH.GARCHOrder := 1;
    // Set asymmetry order
    GARCH.AssymetryOrder := 2;
    // Set type of GARCH model
    GARCH.GARCHSpec := GARCHSpecType.GARCH;

    // Execute calculation and display results
    res := GARCH.Execute;
    Debug.WriteLine(GARCH.Errors);
    If (res = 0) Then
        Debug.WriteLine("Autoregression coefficient estimations");
        CoefficientsAR := ARMA.CoefficientsAR;
        Debug.Indent;
        d := CoefficientsAR.Estimate[0];
        Debug.WriteLine("Value: " + d.ToString);
        Debug.Unindent;
        Debug.WriteLine("Moving average coefficient estimation");
        CoefficientsMA := ARMA.CoefficientsMA;
        Debug.Indent;
        d := CoefficientsMA.Estimate[0];
        Debug.WriteLine("Value: " + d.ToString);
        Debug.Unindent;
        Debug.WriteLine("Optimal value of likelihood function");
        Debug.Indent;
        d := GARCH.LikelihoodFunctionValue;
        Debug.WriteLine("Value" + d.ToString);
        Debug.Unindent;
        Debug.WriteLine("Standard error");
        Debug.Indent;
        d := GARCH.SummaryStatistics.SE;
        Debug.WriteLine("Value: " + d.ToString);
        Debug.Unindent;
        Debug.WriteLine("Modeling series");
        Print(GARCH.Fitted);
        Debug.WriteLine("Residual series");
        Print(GARCH.Residuals);
        Debug.WriteLine("Residual variance");
        Print(GARCH.ResidualsDispersion);
        Debug.WriteLine("Residual variance forecast");
        Print(GARCH.ResidualsDispersionForecast);
        Debug.WriteLine("Regression coefficient estimation");
        RegrCoef := GARCH.RegressionCoefficients.Coefficients;
        Debug.Indent;
        Debug.WriteLine("Estimated model coefficient values: ");
        Print(RegrCoef.Estimate);
        Debug.WriteLine("Probabilistic coefficients: ");
        Print(RegrCoef.Probability);
        Debug.Unindent;
        Debug.WriteLine("Estimated coefficients of conditional heteroscedasticity generalized autoregression");
        GARCHCoef := GARCH.GARCHCoefficients.Coefficients;
        Debug.Indent;
        Debug.WriteLine("Estimated model coefficient values: ");
        Print(GARCHCoef.Estimate);
        Debug.WriteLine("Probabilistic coefficients: ");
        Print(GARCHCoef.Probability);
        Debug.Unindent;
    End If;
End Sub UserProc;

After executing the example the console window displays results of GARCH model calculation.