L10a2: Time domain analysis

G13FAF   Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt-1 + γ)2
G13FBF   Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt-1 + γ)2
G13FCF   Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|εt-1| + γ εt-1)2
G13FDF   Univariate time series, forecast function for a GARCH process with asymmetry of the form (|εt-1| + γ εt-1)2
G13FEF   Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G13FFF   Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G13FGF   Univariate time series, forecast function for an exponential GARCH (EGARCH) process
G13FHF   Univariate time series, forecast function for an exponential GARCH (EGARCH) process
L10a2a:   Summary statistics  (3 routines)
L10a2b:   Stationarity analysis (search also class L10a2a)  (1 routine)
L10a2c:   Autoregressive models  (1 routine)
L10a2d:   ARMA and ARIMA models (including Box--Jenkins methods)  (8 routines)
L10a2e:   State-space analysis (e.g., Kalman filtering)  (2 routines)
L10a2f:   Analysis of a locally stationary series  (1 routine)
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© The Numerical Algorithms Group Ltd, Oxford UK. 2001