Assembly: Stat;
The ISmMarkovSwitchingGARCH interface is used to work with MS-GARCH model (Markov switching GARCH) with one variable parameter: average variance value.
ISmMarkovSwitchingGARCH
Markov-switching GARCH model is an advanced GARCH model, which can describe variance state change.
Property name | Brief description | |
ARCHCoefficients | The ARCHCoefficients property returns estimates of coefficients of autoregression of conditional heteroscedasticity (ARCH) of the model and their characteristics. | |
ARCHOrder | The ARCHOrder property determines the order of autoregression of conditional heteroscedasticity (ARCH). | |
ConditionalStateProbabilities | The ConditionalStateProbabilities property returns a series of transition probabilities for each period of time. | |
Explained | The Explained property determines an explained series. | |
Explanatories | The Explanatories property determines explanatory variables. | |
Fitted | The Fitted property returns a modeling series. | |
Forecast | The Forecast property returns parameters of forecasting series. | |
GARCHCoefficients | The GARCHCoefficients property returns estimates of coefficients of autoregression of conditional heteroscedasticity (ARCH) for the model and their characteristics. | |
GARCHConst | The GARCHConst property returns estimate of the GARCH constant μ1. | |
GARCHConst1 | The GARCHConst property returns estimate of the GARCH constant μ1. | |
GARCHOrder | The GARCHOrder property determines the order of generalized autoregression of conditional heteroscedasticity (GARCH). | |
MCMCParameters | The MCMCParameters property returns parameters of the Markov Chain Monte Carlo algorithm. | |
MissingData | The MissingData property determines missing data treatment parameters. | |
ModelPeriod | The ModelPeriod property determines sample period parameters. | |
P00 | The P11 property returns estimates of parameters of switching from 0 to 0 state. | |
P00Distribution | The P00Distribution property determines parameters of distribution for probability of switching from 0 to 0 state. | |
P11 | The P11 property returns estimates of parameters of switching from 1 to 1 state. | |
P11Distribution | The P00Distribution property determines parameters of distribution for probability of switching from 1 to 1 state. | |
RegressionCoefficients | The RegressionCoefficients property returns estimates of model coefficients and their characteristics. | |
Residuals | The Residuals property returns a residual series. | |
ResidualsDispersion | The ResidualsDispersion property returns a residual variances series. | |
ResidualsDispersionForecast | The ResidualsDispersionForecast property returns residual variances forecast. | |
SummaryStatistics | The SummaryStatistics property returns descriptive statistics of a model. | |
UseDefaultInitDistribution | The UseDefaultInitDistribution property determines whether default values are used. |
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. |
See also: