GAUSS igarchFit Example

Introduction

The following is an example of implementing the igarchFit procedure for estimating integrated garch models.

Estimate the model

This example uses previously simulated data stored in the GAUSS dataset "igarch.dat". An IGARCH(1,1) model can be estimated in a single line using the GAUSS formula string syntax.

new;
library tsmt;

// Get file name with full path
dataset = getGAUSSHome() $+ "pkgs/tsmt/examples/igarch.dat";

// Estimate model, using variable 'y' from the dataset
call igarchFit(dataset, "y", 1, 1);

Output

The output reads:

Normal Solution

AIC    -635.6365
lrs    -643.6365

            Coefficients     lower cl     upper cl
beta0[1,1]        0.0271      -0.0422       0.0964
garch[1,1]        0.8140       0.7169       0.9112
arch[1,1]         0.1860       0.0660       0.3059
omega[1,1]        0.0147      -0.0074       0.0367