IMSL C# Numerical Library

GARCH Constructor 

Constructor for GARCH.

public GARCH(
   int p,
   int q,
   double[] y,
   double[] xguess
);

Parameters

p
A int scalar containing the number of autoregressive (AR) parameters.
q
A int scalar containing the number of moving average (MA) parameters.
y
A double array containing the observed time series data.
xguess
A double array of length p + q + 1 containing the initial values for the parameter array.

Exceptions

Exception Type Condition
ArgumentException is thrown if the dimensions of y, and xguess are not consistent

See Also

GARCH Class | Imsl.Stat Namespace