Phone: +1 (888) 4279486
+1 (312) 2573777
Contact Us
EGARCH_VOL
Returns an array of the fitted (insample) conditional volatilities/standard deviations.
Syntax
X
is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
Order
is the time order of the data series (i.e. whether the first data point corresponds to the earliest or latest date (earliest date=1 (default), latest date=0)).
Order  Description 

1  ascending (the first data point corresponds to the earliest date) 
0  descending (the first data point corresponds to the latest date) 
mean
is the EGARCH^{i} model mean (i.e. mu).
alphas
are the parameters of the ARCH(p) component model (starting with the lowest lag^{i}).
gammas
are the leverage parameters (starting with the lowest lag).
betas
are the parameters of the GARCH(q) component model (starting with the lowest lag).
Remarks
 The underlying model is described here.
 The time series is homogeneous or equally spaced.
 The time series may include missing values (e.g. #N/A) at either end.
 The number of gammacoefficients must match the number of alphacoefficients.
 The number of parameters in the input argument  alpha  determines the order of the ARCH component model.
 The number of parameters in the input argument  beta  determines the order of the GARCH component model.
Examples
Example 1:
A  B  C  D  E  

1  Date  Data 
EGARCH_VOL "=EGARCH_VOL($B$2:$B$32,1,$E$3,$E$4:$E$5,$E$6,$E$7)" 

2  January 10, 2008  2.827  1.190 
EGARCH(1,1) 

3  January 11, 2008  0.947  0.622  Mean  0.266 
4  January 12, 2008  0.877  0.889  Alpha_0  1.583 
5  January 13, 2008  1.209  1.357  Alpha_1  1.755 
6  January 14, 2008  1.669  0.747  Gamma_1  0.286 
7  January 15, 2008  0.835  0.593  Beta_1  0.470 
8  January 16, 2008  0.266  0.212  
9  January 17, 2008  1.361  1.065  
10  January 18, 2008  0.343  0.406  
11  January 19, 2008  0.475  1.282  
12  January 20, 2008  1.153  1.292  
13  January 21, 2008  1.144  1.619  
14  January 22, 2008  1.070  1.035  
15  January 23, 2008  1.491  1.379  
16  January 24, 2008  0.686  1.471  
17  January 25, 2008  0.975  1.274  
18  January 26, 2008  1.316  0.824  
19  January 27, 2008  0.125  0.907  
20  January 28, 2008  0.712  1.296  
21  January 29, 2008  1.530  1.064  
22  January 30, 2008  0.918  1.079  
23  January 31, 2008  0.365  0.663  
24  February 1, 2008  0.997  0.621  
25  February 2, 2008  0.360  0.844  
26  February 3, 2008  1.347  1.901  
27  February 4, 2008  1.339  1.145  
28  February 5, 2008  0.481  1.308  
29  February 6, 2008  1.270  1.314  
30  February 7, 2008  1.710  1.554  
31  February 8, 2008  0.125  0.647  
32  February 9, 2008  0.940  1.406 
Files Examples
References
 Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0691042896
 Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0471690740