NAG Library Routine Document

g05pff  (times_garch_gjr)

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

1:     $\mathbf{dist}$ – Character(1)Input

On entry: 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:     $\mathbf{num}$ – IntegerInput

On entry: $T$, the number of terms in the sequence.

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

3:     $\mathbf{ip}$ – IntegerInput

On entry: the number of coefficients, ${\beta }_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,p$.

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

4:     $\mathbf{iq}$ – IntegerInput

On entry: the number of coefficients, ${\alpha }_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,q$.

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

5:     $\mathbf{theta}\left(\mathbf{iq}+\mathbf{ip}+1\right)$ – Real (Kind=nag_wp) arrayInput

On entry: 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:     $\mathbf{gamma}$ – Real (Kind=nag_wp)Input

On entry: 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:     $\mathbf{df}$ – IntegerInput

On entry: 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:     $\mathbf{ht}\left(\mathbf{num}\right)$ – Real (Kind=nag_wp) arrayOutput

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

9:     $\mathbf{et}\left(\mathbf{num}\right)$ – Real (Kind=nag_wp) arrayOutput

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

10:   $\mathbf{fcall}$ – LogicalInput

On entry: if $\mathbf{fcall}=\mathrm{.TRUE.}$, a new sequence is to be generated, otherwise a given sequence is to be continued using the information in r.

11:   $\mathbf{r}\left(\mathbf{lr}\right)$ – Real (Kind=nag_wp) arrayInput/Output

On entry: the array contains information required to continue a sequence if $\mathbf{fcall}=\mathrm{.FALSE.}$.

On exit: contains information that can be used in a subsequent call of g05pff, with $\mathbf{fcall}=\mathrm{.FALSE.}$.

12:   $\mathbf{lr}$ – IntegerInput

On entry: the dimension of the array r as declared in the (sub)program from which g05pff is called.

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

13:   $\mathbf{state}\left(*\right)$ – Integer arrayCommunication Array

Note: the actual argument supplied must be the array state supplied to the initialization routines g05kff or g05kgf.

On entry: contains information on the selected base generator and its current state.

On exit: contains updated information on the state of the generator.

14:   $\mathbf{ifail}$ – IntegerInput/Output

On entry: ifail must be set to $0$, $-1\text{ or }1$. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value $-1\text{ or }1$ is recommended. If the output of error messages is undesirable, then the value $1$ is recommended. Otherwise, if you are not familiar with this argument, the recommended value is $0$. When the value $-\mathbf{1}\text{ or }\mathbf{1}$ is used it is essential to test the value of ifail on exit.

On exit: $\mathbf{ifail}=\mathbf{0}$ unless the routine detects an error or a warning has been flagged (see Section 6).

6

Error Indicators and Warnings

$\mathbf{ifail}=1$

On entry, dist is not valid: $\mathbf{dist}=〈\mathit{\text{value}}〉$.

$\mathbf{ifail}=2$

On entry, $\mathbf{num}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{num}\ge 0$.

$\mathbf{ifail}=3$

On entry, $\mathbf{ip}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{ip}\ge 0$.

$\mathbf{ifail}=4$

On entry, $\mathbf{iq}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{iq}\ge 1$.

$\mathbf{ifail}=5$

On entry, $\mathbf{theta}\left(〈\mathit{\text{value}}〉\right)=〈\mathit{\text{value}}〉$ and $\gamma =〈\mathit{\text{value}}〉$.
Constraint: ${\alpha }_i+\gamma \ge 0$.

$\mathbf{ifail}=7$

On entry, $\mathbf{df}=〈\mathit{\text{value}}〉$.
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.
Previous value of $\mathbf{ip}=〈\mathit{\text{value}}〉$ and $\mathbf{ip}=〈\mathit{\text{value}}〉$.
Previous value of $\mathbf{iq}=〈\mathit{\text{value}}〉$ and $\mathbf{iq}=〈\mathit{\text{value}}〉$.

$\mathbf{ifail}=12$

On entry, lr is not large enough, $\mathbf{lr}=〈\mathit{\text{value}}〉$: minimum length required $=〈\mathit{\text{value}}〉$.

$\mathbf{ifail}=13$

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

$\mathbf{ifail}=51$

On entry, $\mathbf{theta}\left(〈\mathit{\text{value}}〉\right)=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{theta}\left(i\right)\ge 0.0$.

$\mathbf{ifail}=52$

On entry, sum of $\mathbf{theta}\left(i\right)=〈\mathit{\text{value}}〉$.
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.

See Section 3.9 in How to Use the NAG Library and its Documentation for further information.

$\mathbf{ifail}=-399$

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

See Section 3.8 in How to Use the NAG Library and its Documentation for further information.

$\mathbf{ifail}=-999$

Dynamic memory allocation failed.

See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7

Accuracy

8

Parallelism and Performance

9

Further Comments

10

Example

10.1

Program Text

Program Text (g05pffe.f90)

10.2

Program Data

Program Data (g05pffe.d)

10.3

Program Results

Program Results (g05pffe.r)