The GARCH type exposes the following members.

Constructors

NameDescription
GARCH
Constructor for GARCH.

Methods

NameDescription
Compute
Computes estimates of the parameters of a GARCH(p,q) model.
Equals
Determines whether the specified Object is equal to the current Object.
(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.
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.
MemberwiseClone
Creates a shallow copy of the current Object.
(Inherited from Object.)
ToString
Returns a String that represents the current Object.
(Inherited from Object.)

Properties

NameDescription
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.
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.

See Also