In This Topic
Forecasts the moments of a time-series by using the IGARCH model
ARGUMENTS
| Returns |
Vector of returns |
Matrix |
| AR |
Number of autoregressives terms (>=0) |
Integer |
| MA |
Number of moving average terms (>=0) |
Integer |
| Arch |
Number of Arch terms (>=0) |
Integer |
| Garch |
Number of Garch terms (>=0) |
Integer |
| Horizon |
Forecast horizon (>0) |
Integer |
| Distribution |
Error's term distribution ("NORMAL", "STUDENT" or "SKEWT") |
Text |
| Moments |
The estimates to be returned ( "MEAN" or "VARIANCE" ) |
Text |
This function is asynchronous.