TS_GARCH_RESULT_USER [Scalar]

A supporting function for TS_GARCH. Accesses each element in the logical array that describes the GARCH(p,q) model.

Syntax

TS_GARCH_RESULT_USER (ts_garch_result, model_element_number)

Licensing Prerequisites

Available only with RAP – The Trading Edition Enterprise.

Parameters

ts_garch_result – a varbinary result argument generated by a call to the TS_GARCH aggregate function.
model_element_number – an integer constant expression value within the range of 1 to (1+p+q).

Usage

Returns a double-precision floating point value for the specified model description output value. The number of elements returned in the output set is p + q + 1. The first element in the output set is the resulting sigma squared value. The next q values are the calculated ARCH parameters. The final p values are the determined GARCH parameters.

Although the size of the output set is variable—since the p and q values must be passed as constant input arguments to TS_GARCH—the number of model description values is fixed for any specific TS_GARCH call.

IMSL Mapping

Maps to the IMSLS_RETURN_USER, float x[], argument of imsls_d_garch.

Example

See the example for TS_GARCH.

Standards and Compatibility

SQL – ISO/ANSI SQL compliant
Sybase – not compatible with SQL Anywhere or Adaptive Server Enterprise