Constructor for GARCH.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public GARCH(
	int p,
	int q,
	double[] y,
	double[] xguess
)
Visual Basic (Declaration)
Public Sub New ( _
	p As Integer, _
	q As Integer, _
	y As Double(), _
	xguess As Double() _
)
Visual C++
public:
GARCH(
	int p, 
	int q, 
	array<double>^ y, 
	array<double>^ xguess
)

Parameters

p
Type: System..::.Int32
A int scalar containing the number of autoregressive (AR) parameters.
q
Type: System..::.Int32
A int scalar containing the number of moving average (MA) parameters.
y
Type: array< System..::.Double >[]()[]
A double array containing the observed time series data.
xguess
Type: array< System..::.Double >[]()[]
A double array of length p + q + 1 containing the initial values for the parameter array.

Exceptions

ExceptionCondition
System..::.ArgumentException is thrown if the dimensions of y, and xguess are not consistent

See Also