Grocer Function
NAME
garch_sigt - Generates garch sigmas
CALLING SEQUENCE
sigt=garch_sigt(y,x,param,nar,nma)
PARAMETERS
Input
-
y = data vector
-
x = data matrix
-
param = vector of parameters
-
nar = # of ar parameters
-
nma = # of ma parameters
Output
-
sigt=(nx1) vector of sigma(t) estimates
DESCRIPTION
Generates garch model sigmas over time given maximum likelihood estimates.
EXAMPLE
sigt = garch_sigt(grocer_y,grocer_x,parm1,nar,nma);
Example taken from function garch().
AUTHOR
Eric Dubois 2002