ISmGARCH.OptimizationMethod

Syntax

OptimizationMethod: GARCHOptimizationMethod;

Description

The OptimizationMethod property determines the optimization method in use.

Comments

By default the Berndt-Hall-Hall-Hausman algorithm is used, that is, OptimizationMethod = GARCHOptimizationMethod.BHHH.

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: Integer;
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] := 130; 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] := 140; y2[8] := 155;
    x[9] := 131; y1[9] := 140; y2[9] := 150;
    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 optimization method
    GARCH.OptimizationMethod := GARCHOptimizationMethod.BFGS;
    // Calculate the method  and output the results
    res := GARCH.Execute;
    Debug.WriteLine("Summary statistics:");
    Debug.Indent;
    Debug.WriteLine("Determination coefficient: " + GARCH.SummaryStatistics.R2.ToString);
    Debug.WriteLine("Adjusted determination coefficient: " + GARCH.SummaryStatistics.AdjR2.ToString);
    Debug.WriteLine("Standard regression error: " + GARCH.SummaryStatistics.SE.ToString);
    Debug.WriteLine("Sum of residual squares: " + GARCH.SummaryStatistics.SSR.ToString);
Debug.WriteLine("Durbin-Watsonstatistic:"+GARCH.SummaryStatistics.DW.ToString);     Debug.Unindent;
End Sub UserProc;

After executing the example the console window displays summary characteristics