garchestim.ox

时间序列分析中著名的OxMetrics软件包

#import <packages/Garch30/garch>

#import "gauss::gengarch"
#pragma array_base(0)
main()
{
	decl omega=1;
	decl alpha=0.1;
	decl beta=0.8;
	decl nu=6;
	decl T_0=1000;
	decl T=4000;
	decl n=1;
	decl y=gauss::gengarch(omega,alpha,beta,nu,T_0,T,n);

	decl garchobj;

	garchobj = new Garch();

	garchobj.Create(1, 1, 1, T, 1);
	decl name = "Y";
	garchobj.Append(y, name);
    garchobj.Select(Y_VAR, {"Y",0,0} );	 
	garchobj.SetSelSample(-1, 1, -1, 1);   		
	garchobj.Initialization(<>);
	garchobj.DoEstimation();
	garchobj.Output();			   
	delete garchobj;
}