The GARCH type exposes the following members.
Constructors
Name | Description | |
---|---|---|
![]() | GARCH |
Constructor for GARCH.
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Methods
Name | Description | |
---|---|---|
![]() | Compute |
Computes estimates of the parameters of a GARCH(p,q) model.
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![]() | Equals | (Inherited from Object.) |
![]() | Finalize |
Allows an Object to attempt to free resources and perform other cleanup operations before the Object is reclaimed by garbage collection.
(Inherited from Object.) |
![]() | GetAR |
Returns the estimated values of autoregressive (AR) parameters. Note
that the Compute method must be invoked first before
invoking this method. Otherwise, the method throws a
NullReferenceException exception.
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![]() | GetHashCode |
Serves as a hash function for a particular type.
(Inherited from Object.) |
![]() | GetMA |
Returns the estimated values of moving average (MA) parameters. Note
that the Compute method must be invoked first before
invoking this method. Otherwise, the method throws a
NullReferenceException exception.
|
![]() | GetType |
Gets the Type of the current instance.
(Inherited from Object.) |
![]() | GetVarCovarMatrix |
Returns the variance-covariance matrix. Note that the Compute
method must be invoked first before invoking this method. Otherwise,
the method throws a NullReferenceException exception.
|
![]() | GetX |
Returns the estimated parameter array, x. Note that the
Compute method must be invoked first before invoking this
method. Otherwise, the method throws a NullReferenceException
exception.
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![]() | MemberwiseClone |
Creates a shallow copy of the current Object.
(Inherited from Object.) |
![]() | ToString | (Inherited from Object.) |
Properties
Name | Description | |
---|---|---|
![]() | Akaike |
Returns the value of Akaike Information Criterion evaluated at the
estimated parameter array. Note that the Compute method
must be invoked first before invoking this method. Otherwise, the
return value is 0.
|
![]() | LogLikelihood |
Returns the value of Log-likelihood function evaluated at the estimated
parameter array. Note that the Compute method must be
invoked first before invoking this method. Otherwise, the return value
is 0.
|
![]() | MaxSigma |
The value of the upperbound on the first element (sigma) of the array
of returned estimated coefficients.
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![]() | Sigma |
Returns the estimated value of sigma squared. Note that the
Compute method must be invoked first before invoking this
method. Otherwise, the return value is NaN.
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