ISmGARCH.CovarianceMatrix

Syntax

CovarianceMatrix: Array;

Description

The CovarianceMatrix property returns covariance matrix values.

Comments

It is required to use an array of Double values.

Example

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

Sub UserProc;
Var
    GARCH: ISmGARCH;
    x: Array[10] Of Double;
    y1, y2: Array[15] Of Double;
    Res, i, j: Integer;
    str: String;
Begin
    GARCH := New SmGARCH.Create;
    // Set values fornbsp;variables
    x[0] := 100; y1[0] := 120; y2[0] := 122;
    x[1] := 111; y1[1] := 125; y2[1] := 127;
    x[2] := 123; y1[2] := 124; y2[2] := 130;
    x[3] := 113; y1[3] := 130; y2[3] := 135;
    x[4] := 119; y1[4] := 133; y2[4] := 140;
    x[5] := 121; y1[5] := Double.Nan; y2[5] := 149;
    x[6] := 125; y1[6] := 139; y2[6] := 150;
    x[7] := 131; y1[7] := 140; y2[7] := 155;
    x[8] := 131; y1[8] := Double.Nan; y2[8] := 155;
    x[9] := 131; y1[9] := 140; y2[9] := Double.Nan;
    y1[10] := 129; y2[10] := 149;
    y1[11] := 139; y2[11] := 150;
    y1[12] := 140; y2[12] := 155;
    y1[13] := 134; y2[13] := 145;
    y1[14] := 140; y2[14] := 165;
    // Set explained variable
    GARCH.Explained.Value := x;
    // Set explanatory variables
    GARCH.Explanatories.Clear;
    GARCH.Explanatories.Add.Value := y1;
    GARCH.Explanatories.Add.Value := y2;
    // Set parameters of the sample and forecast periods
    GARCH.ModelPeriod.FirstPoint := 1;
    GARCH.ModelPeriod.LastPoint := 10;
    // Set forecasting series parameters
    GARCH.Forecast.LastPoint := 15;
    // Set constant determination mode
    GARCH.Intercept.Mode := InterceptMode.AutoEstimate;
     // Set missing data treatment method
    GARCH.MissingData.Method := MissingDataMethod.LinTrend;
    //Use initial values used by default
    GARCH.UseDefaultInitValues := True;
    // Set maximum number of iterations for method calculation
    GARCH.MaxIteration := 100;
    GARCH.Tolerance := 0.0001;
    // Set asymmetry order
    GARCH.AssymetryOrder := 2;
    // Set GARCH model type
    GARCH.GARCHSpec := GARCHSpecType.GARCH;
    // Calculate the method  and output the results
    res := GARCH.Execute;
    If res <> 0 Then
        Debug.WriteLine(GARCH.Errors);
        Else
            Debug.WriteLine("== Covariance coefficients matrix== ");
            For i := 0 To GARCH.CovarianceMatrix.GetUpperBound(1) Do
                str := "";
                For j := 0 To GARCH.CovarianceMatrix.GetUpperBound(2) Do
                    str := str + "  " + (GARCH.CovarianceMatrix[i, j] As Double).ToString;
                End For;
                Debug.WriteLine(str);
            End For;
    End If;
End Sub UserProc;

After executing the example the console window displays values of covariance matrix.