NAG Toolbox: nag_rand_times_garch_gjr (g05pf)

Purpose

Syntax

Description

References

Parameters

Compulsory Input Parameters

1:     $\mathrm{dist}$ – string (length ≥ 1)

The type of distribution to use for ${\epsilon }_t$.

$\mathbf{dist}=\text{'N'}$

A Normal distribution is used.

$\mathbf{dist}=\text{'T'}$

A Student's $t$-distribution is used.

Constraint: $\mathbf{dist}=\text{'N'}$ or $\text{'T'}$.

2:     $\mathrm{num}$ – int64int32nag_int scalar

$T$, the number of terms in the sequence.

Constraint: $\mathbf{num}>0$.

3:     $\mathrm{ip}$ – int64int32nag_int scalar

The number of coefficients, ${\beta }_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,p$.

Constraint: $\mathbf{ip}\ge 0$.

4:     $\mathrm{iq}$ – int64int32nag_int scalar

The number of coefficients, ${\alpha }_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,q$.

Constraint: $\mathbf{iq}\ge 1$.

5:     $\mathrm{theta}\left(\mathbf{iq}+\mathbf{ip}+1\right)$ – double array

The first element must contain the coefficient ${\alpha }_o$, the next iq elements must contain the coefficients ${\alpha }_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,q$. The remaining ip elements must contain the coefficients ${\beta }_{\mathit{j}}$, for $\mathit{j}=1,2,\dots ,p$.

Constraints:

• ${\displaystyle \sum _{\mathit{i}=2}^{\mathbf{iq}+\mathbf{ip}+1}}\mathbf{theta}\left(\mathit{i}\right)<1.0$;
• $\mathbf{theta}\left(\mathit{i}\right)\ge 0.0$, for $i=1$ and $i=\mathbf{iq}+2,\dots ,\mathbf{iq}+\mathbf{ip}+1$.

6:     $\mathrm{gamma}$ – double scalar

The asymmetry parameter $\gamma$ for the $\text{GARCH}\left(p,q\right)$ sequence.

Constraint: $\mathbf{gamma}+\mathbf{theta}\left(\mathit{i}\right)\ge 0.0$, for $\mathit{i}=2,3,\dots ,\mathbf{iq}+1$.

7:     $\mathrm{df}$ – int64int32nag_int scalar

The number of degrees of freedom for the Student's $t$-distribution.

If $\mathbf{dist}=\text{'N'}$, df is not referenced.

Constraint: if $\mathbf{dist}=\text{'T'}$, $\mathbf{df}>2$.

8:     $\mathrm{fcall}$ – logical scalar

If $\mathbf{fcall}=\mathit{true}$, a new sequence is to be generated, otherwise a given sequence is to be continued using the information in r.

9:     $\mathrm{r}\left(\mathbf{lr}\right)$ – double array

The array contains information required to continue a sequence if $\mathbf{fcall}=\mathit{false}$.

10:   $\mathrm{state}\left(:\right)$ – int64int32nag_int array

Note: the actual argument supplied must be the array state supplied to the initialization routines nag_rand_init_repeat (g05kf) or nag_rand_init_nonrepeat (g05kg).

Contains information on the selected base generator and its current state.

Optional Input Parameters

1:     $\mathrm{lr}$ – int64int32nag_int scalar

Default: the dimension of the array r.

The dimension of the array r.

Constraint: $\mathbf{lr}\ge 2\times \left(\mathbf{ip}+\mathbf{iq}+2\right)$.

Output Parameters

1:     $\mathrm{ht}\left(\mathbf{num}\right)$ – double array

The conditional variances $h_{\mathit{t}}$, for $\mathit{t}=1,2,\dots ,T$, for the $\text{GARCH}\left(p,q\right)$ sequence.

2:     $\mathrm{et}\left(\mathbf{num}\right)$ – double array

The observations ${\epsilon }_{\mathit{t}}$, for $\mathit{t}=1,2,\dots ,T$, for the $\text{GARCH}\left(p,q\right)$ sequence.

3:     $\mathrm{r}\left(\mathbf{lr}\right)$ – double array

Contains information that can be used in a subsequent call of nag_rand_times_garch_gjr (g05pf), with $\mathbf{fcall}=\mathit{false}$.

4:     $\mathrm{state}\left(:\right)$ – int64int32nag_int array

Contains updated information on the state of the generator.

5:     $\mathrm{ifail}$ – int64int32nag_int scalar

$\mathbf{ifail}=\mathbf{0}$ unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

   $\mathbf{ifail}=1$

On entry, dist is not valid.

   $\mathbf{ifail}=2$

Constraint: $\mathbf{num}\ge 0$.

   $\mathbf{ifail}=3$

Constraint: $\mathbf{ip}\ge 0$.

   $\mathbf{ifail}=4$

Constraint: $\mathbf{iq}\ge 1$.

   $\mathbf{ifail}=5$

Constraint: ${\alpha }_i+\gamma \ge 0$.

   $\mathbf{ifail}=7$

Constraint: $\mathbf{df}\ge 3$.

   $\mathbf{ifail}=11$

ip or iq is not the same as when r was set up in a previous call.

   $\mathbf{ifail}=12$

On entry, lr is not large enough, $\mathbf{lr}=\_$: minimum length required .

   $\mathbf{ifail}=13$

On entry, state vector has been corrupted or not initialized.

   $\mathbf{ifail}=51$

Constraint: $\mathbf{theta}\left(i\right)\ge 0.0$.

   $\mathbf{ifail}=52$

Constraint: sum of $\mathbf{theta}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{ip}+\mathbf{iq}$ is $<1.0$.

   $\mathbf{ifail}=-99$

An unexpected error has been triggered by this routine. Please contact NAG.

   $\mathbf{ifail}=-399$

Your licence key may have expired or may not have been installed correctly.

   $\mathbf{ifail}=-999$

Dynamic memory allocation failed.

Accuracy

Further Comments

Example

Open in the MATLAB editor: g05pf_example

function g05pf_example


fprintf('g05pf example results\n\n');

% Initialize the generator to a repeatable sequence
seed  = [int64(1762543)];
genid = int64(1);
subid = int64(1);
[state, ifail] = g05kf( ...
                        genid, subid, seed);

% Input parameters
dist  = 'N';
num   = int64(10);
ip    = int64(1);
iq    = int64(1);
theta = [0.4; 0.1; 0.7];
gamma = 0.1;
df    = int64(0);
fcall = true;
r     = zeros(2*(ip+iq+2),1);

% Generate the first realisation
[ht, et, r, state, ifail] = g05pf( ...
                                   dist, num, ip, iq, theta,  ...
                                   gamma, df, fcall, r, state);
% Display the results
  fprintf('\n Realisation Number 1\n');
  fprintf('   i            ht(i)            et(i)\n');
  fprintf('  --------------------------------------\n');
  for i=1:num
    fprintf('  %2d  %16.4f %16.4f\n', i, ht(i), et(i));
  end

% Generate a second realisation
fcall = false;
[ht, et, r, state, ifail] = g05pf( ...
                                   dist, num, ip, iq, theta,  ...
                                   gamma, df, fcall, r, state);
% Display the results
fprintf('\n Realisation Number 2\n');
fprintf('   i            ht(i)            et(i)\n');
fprintf('  --------------------------------------\n');
for i=1:num
  fprintf('  %2d  %16.4f %16.4f\n', i, ht(i), et(i));
end

g05pf example results


 Realisation Number 1
   i            ht(i)            et(i)
  --------------------------------------
   1            1.8000           0.4679
   2            1.6819          -1.6152
   3            2.0991           0.9592
   4            1.9614           1.1701
   5            1.9099          -1.7355
   6            2.3393          -0.0289
   7            2.0377          -0.4201
   8            1.8617           1.0865
   9            1.8212          -0.0061
  10            1.6749           0.5754

 Realisation Number 2
   i            ht(i)            et(i)
  --------------------------------------
   1            1.6055          -2.0776
   2            2.3872          -1.0034
   3            2.2724           0.4756
   4            2.0133          -2.2871
   5            2.8554           0.4012
   6            2.4149          -0.9125
   7            2.2570          -1.0732
   8            2.2102           3.7105
   9            3.3239           2.3530
  10            3.2804           0.1388