ISmMarkovSwitchingGARCH.ARCHCoefficients

Syntax

Description

The ARCHCoefficients property returns estimates of coefficients of autoregression of conditional heteroscedasticity (ARCH) of the model and their characteristics.

Comments

The number of coefficients must correspond to the ARCHOrder parameter.

Example

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

Sub UserProc;
Var
    SMG: ISmMarkovSwitchingGARCH;
    ARCHCoef, RCoef, GARCHCoef: ICoefficients;
    y: Array[5] Of Double;
    x: Array[10] Of Double;
    res, i: Integer;
Begin
    SMG := New SmMarkovSwitchingGARCH.Create;
    // Set values for variables
    y[0] := 5.207664; x[0] := 1.9061476;
    y[1] := 5.264373; x[1] := -0.26003;
    y[2] := Double.Nan; x[2] := 9.54554;
    y[3] := 5.702848; x[3] := 7.9776938;
    y[4] := 5.996597; x[4] := Double.Nan;
                        x[5] := 12.719879;
                        x[6] := 13.875518;
                        x[7] := 16.046427;
                        x[8] := 17.218547;
                        x[9] := 21.07471;
    // select explained series
    SMG.Explained.Value := y;
    // select explanatory series
    SMG.Explanatories.Clear;
    SMG.Explanatories.Add.Value := x;
    // determine sample period
    SMG.ModelPeriod.FirstPoint := 1;
    SMG.ModelPeriod.LastPoint := 5;
    // determine forecast period
    SMG.Forecast.LastPoint := 10;
    // select ARCH and GARCH orders
    SMG.ARCHOrder := 1;
    SMG.GARCHOrder := 1;
    // select missing data treatment method
    SMG.MissingData.Method := MissingDataMethod.LinTrend;
    // determine Markov chain Monte Carlo algorithm parameters
    SMG.MCMCParameters.NumOfIterations := 200;
    SMG.MCMCParameters.IterationsToDiscard := 100;
    SMG.MCMCParameters.Period := 20;
    // use default initial values
    SMG.UseDefaultInitDistribution := True;
    // calculate model and output results
    res := SMG.Execute;
    Debug.WriteLine(SMG.Errors);
    Debug.WriteLine("MS-GARCH model");
    RCoef := SMG.RegressionCoefficients.Coefficients;
    Debug.WriteLine("Coefficients");
    For i := 0 To RCoef.Estimate.Length - 1 Do
        Debug.WriteLine("X: " + RCoef.Estimate[i].ToString + ", Variance: " + RCoef.StandardError[i].ToString);
    End For;
    ARCHCoef := SMG.ARCHCoefficients.Coefficients;
    For i := 0 To ARCHCoef.Estimate.Length - 1 Do
        Debug.WriteLine("ARCH: " + ARCHCoef.Estimate[i].ToString + ", Variance: " + ARCHCoef.StandardError[i].ToString);
    End For;
    GARCHCoef := SMG.GARCHCoefficients.Coefficients;
    For i := 0 To GARCHCoef.Estimate.Length - 1 Do
        Debug.WriteLine("GARCH: " + GARCHCoef.Estimate[i].ToString + ", Variance: " + GARCHCoef.StandardError[i].ToString);
    End For;
    Debug.WriteLine("GARCH Const0: " + SMG.GARCHConst.Estimation.ToString + ", Variance: " + SMG.GARCHConst.Dispersion.ToString);
    Debug.WriteLine("GARCH Const1: " + SMG.GARCHConst1.Estimation.ToString + ", Variance: " + SMG.GARCHConst1.Dispersion.ToString);
    Debug.WriteLine("");
    Debug.WriteLine("Modeling series");
    For i := 0 To SMG.Fitted.Length - 1 Do
        Debug.WriteLine((i + 1).ToString + " " + SMG.Fitted[i].ToString);
    End For;
    Debug.WriteLine("");
    Debug.WriteLine("Residual series");
    For i := 0 To SMG.Residuals.Length - 1 Do
        Debug.WriteLine((i + 1).ToString + " " + SMG.Residuals[i].ToString);
    End For;
    Debug.WriteLine("");
    Debug.WriteLine("Residual variances series");
    For i := 0 To SMG.ResidualsDispersion.Length - 1 Do
        Debug.WriteLine((i + 1).ToString + " " + SMG.ResidualsDispersion[i].ToString);
    End For;
    Debug.WriteLine("");
    Debug.WriteLine("Forecast series");
    For i := SMG.Fitted.Length To SMG.Forecast.Value.Length - 1 Do
        Debug.WriteLine((i + 1).ToString + " " + SMG.Forecast.Value[i].ToString);
    End For;
    Debug.WriteLine("");
    Debug.WriteLine("Residual variances forecast");
    For i := SMG.ResidualsDispersion.Length To SMG.Forecast.Value.Length - 1 Do
        Debug.WriteLine((i + 1).ToString + " " + SMG.ResidualsDispersionForecast[i].ToString);
    End For;
End Sub UserProc;

After executing the example the console window displays regression coefficients, ARCH and GARCH, modeling series, residual series, residual variances series, forecasting series and residual variances forecast.