ISmGARCH

The ISmGARCH interface defines the parameters of the generalized autoregressive conditionally heteroscedastic model (GARCH model).

Inheritance Hierarchy

Comments

GARCH model is used in econometrics to find relation between variance of the current error and squared errors for previous observations. Autoregression members are used to describe error variance.

Properties

	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.

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.

	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.

ISmGARCH

Description

Inheritance Hierarchy

Comments

Properties

Properties inherited from IStatMethod

Methods inherited from IStatMethod