EGARCH

G05HNF   Univariate time series, generate n terms of an exponential GARCH (EGARCH) process
G13FGF   Univariate time series, parameter estimation for an exponential GARCH (EGARCH) process
G13FHF   Univariate time series, forecast function for an exponential GARCH (EGARCH) process

NAG Fortran Library
Keyword Index
© The Numerical Algorithms Group Ltd, Oxford UK. 2004