In This Topic
Forecasts the moments of multiple time-series by using the DIAG BEKK 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" or "STUDENT") |
Text |
| Moments |
The estimates to be returned ("MEAN", "VARIANCE", "COVARIANCE", "CORRELATION" or "VARCOV") |
Text |
| VarNames |
Names of variables (optional) |
Array (strings) |
This function is asynchronous.