NumXL

1.63 (SHAMROCK) Functions

In this page, we maintain a comprehensive list of NumXL time series functions that are available in
Microsoft Excel. Each function can be used directly in a worksheet formula, or called from a VBA
macro.

Descriptive Stats (24)

Descriptivestatisticsisthedisciplineofquantitativelydescribingthemainfeaturesofacollectionof
data.Themainaimistosummarizeadataset,ratherthanusethedatatolearnaboutthepopulation
thatthedataarethoughttorepresent.
Function
EWMA
XCF
EWXCF

ACF
ACFCI
PACF
PACFCI
GINI
HURST
LRVar
MAD
MD
RMD
SAE
MAE
MAPE
RMSD
RMSE
SSE
IQR
Quantile
RMS

Description
Calculatestheestimatedvalueoftheexponentialweightedvolatility(EWV)
Calculatesthecrosscorrelationfunctionbetweentwotimeseries
Computesthecorrelationfactorusingtheexponentialweightedcorrelationfunction
(i.e.usingtheexponentialweightedcovariance(EWCOV)andvolatility(EWMA/EWV)
method)
Calculatesthesampleautocorrelationfunction(ACF)ofastationarytimeseries
Calculatestheconfidenceintervallimits(upper/lower)fortheautocorrelationfunction
Calculatesthesamplepartialautocorrelationfunction(PACF)
Returnstheconfidenceintervallimits(upper/lower)forthepartialautocorrelation
function(PACF)
ReturnsthesampleGinicoefficient
CalculatestheHurstexponentfortimeserieswithmorethan128observations
ReturnsthelongrunvarianceusingaBartlettkernelwithwindowsizek
Returnsthesamplemedianofabsolutedeviation(MAD)
Returnsthemeandifferenceoftheinputdataseries
Returnsthemeandifferenceoftheinputdataseries
Calculatesthesumofabsoluteerrors(SAE)betweentheforecastandtheeventual
outcomes
Calculatesthemeanabsoluteerrorfunctionfortheforecastandtheeventualoutcomes
Calculatesthemeanabsolutepercentageerror(Deviation)functionfortheforecastand
theeventualoutcomes
Calculatestherootmeansquareddeviations(akaroormeansquarederror(RMSE))
function
Calculatestherootmeansquarederror(akarootmeansquareddeviation(RMSD))
function
Calculatesthesumofthesquarederrorsofthepredictionfunction
Returnstheinterquartilerange(IQR),alsocalledthemidspreadormiddlefifty.
Returnsthesamplepquantileofthenonmissingobservations(i.e.dividesthesample
dataintoequalpartsdeterminedbythepercentagep)
Returnsthesamplerootmeansquare(RMS)

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GED_XKURT Calculatestheexcesskurtosisofthegeneralizederrordistribution(GED)
TDIST_XKURT CalculatestheexcesskurtosisoftheStudent'stDistribution

Histogram (5)
Instatistics,ahistogramisagraphicalrepresentationshowingavisualimpressionofthedistributionof
data.Itisanestimateoftheprobabilitydistributionofacontinuousvariable.
Function
HISTBINS
HISTBIN
NxHistogram
EDF
KDE

Description
Returnsthenumberofhistogrambinsusingagivenheuristic/method
Returnstheupper/lowerlimitorcentervalueofthekthhistogrambin
Calculatesthehistogramorcumulativehistogramfunctionforagivenbin
Calculatesthedensityorcumulativeprobabilityoftheempiricalsampledistribution
(EDF)
Calculatesthekerneldensityestimation(PDE)ofthesampledata

Statistical tests (13)

Statistical/Hypothesistestingisacommonmethodofdrawinginferencesaboutapopulationbasedon
statisticalevidencefromasample.
Function
TEST_MEAN
TEST_STDEV
TEST_SKEW
TEST_XKURT

Description
Calculatesthepvalueofthestatisticaltestforthepopulationmean
Calculatesthepvalueofthestatisticaltestforthepopulationstandarddeviation
Calculatesthepvalueofthestatisticaltestforthepopulationskew(i.e.3rdmoment)
Calculatesthepvalueofthestatisticaltestforthepopulationexcesskurtosis(4th
moment)
CollinearityTest Returnsthepvalueofthemulticollinearitytest
ChowTest
Returnsthepvalueoftheregressionstabilitytest(i.e.whetherthecoefficientsintwo
linearregressionsondifferentdatasetsareequal)
NormalityTest Returnsthepvalueofthenormalitytest(i.e.whetheradatasetiswellmodeledbya
normaldistribution)
WNTest
Computesthepvalueofthestatisticalportmanteautest(i.e.whetheranyofagroup
ofautocorrelationsofatimeseriesisdifferentfromzero)
ACFTest
Calculatesthepvalueofthestatisticaltestforthepopulationautocorrelation
function
ARCHTest
CalculatesthepvalueoftheARCHeffecttest(i.e.thewhitenoisetestforthe
squaredtimeseries)
XCFTest
Calculatestheteststats,pvalueorcriticalvalueofthecorrelationsignificancetest.
ADFTest
Returnstheteststatistics(e.g.pvalue,etc.)oftheAugmentedDickeyFuller(ADF)
test,whichtestsforaunitrootinthetimeseriessample
JohansenTest
Returnstheteststatistics(e.g.pvalue,etc.)oftheJohansentestforcointegration

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Data transformation (15)

Instatistics,datatransformationreferstotheapplicationofadeterministicmathematicalfunctionto
eachpointinadataset.
Function
DETREND
BoxCox
LAG
DIFF

Description
Detrendsatimeseriesusingaregressionofyagainstapolynomialtimetrendoforderp
ReturnstheBoxCoxtransformationoftheinputdatapoint(s)
Returnsanarrayofcellsforthebackwardshifted,backshiftedorlaggedtimeseries
Returnsanarrayofcellsforthedifferencedtimeseries(i.e. (1 Ls ) d )
INTG
Integratesthedifferencedtimeseriesandrecoverstheoriginaldata(inverseofDIFF)
TSADD
Returnsanarrayofcellsforthesumoftwotimeseries
TSSUB
Returnsanarrayofthedifferencebetweentwotimeseries
TSSCALE
Returnsanarrayofcellsforthescaledtimeseries
REVERSE
Returnsthetimereversedordertimeseries(i.e.thefirstobservationisswappedwith
thelastobservation,etc.)forbothmissingandnonmissingvalues.
LOGIT
Computesthelogittransformation,includingitsinverse
PROBIT
Computestheprobittransformation,includingitsinverse
CLOGLOG
Computesthecomplementaryloglogtransformation,includingitsinverse
RMNA
Returnsanarrayofcellsofatimeseriesafterremovingallmissingvalues
SUBNA
Returnsanarrayofcellsofatimeseriesaftersubstitutingallmissingvalueswiththe
mean/median
NxTranspose Convertsaverticalrangeofcolumnsintorowsrangeorviceversa

Time series smoothing (6)

Theterm"smoothing"isoftenusedtorefertotechniquesthatcanbeappliedtotimeseriesdatain
ordertoproducesmoothed(lessnoisyorslowermoving)dataforpresentation,ortomakeoutof
sampleforecasts.
Function Description
WMA
Returnstheweightedmoving(rolling/running)averageusingthepreviousmdatapoints
SESMTH Returnsthe(Brown's)simpleexponential(EMA)smoothingestimateofthevalueofXattime
t+m(basedontherawdatauptotimet)
DESMTH Returnsthe(HoltWinters's)doubleexponentialsmoothingestimateofthevalueofXattime
T+m
LESMTH Returnsthe(Brown's)LinearexponentialsmoothingestimateofthevalueofXattimeT+m
(basedontherawdatauptotimet)
TESMTH Returnsthe(Winters's)tripleexponentialsmoothingestimateofthevalueofXattimeT+m
NxTrend Returnsvaluesalongatrendcurve(e.g.linear,quadratic,exponential,etc.)attimeT+m

Spectral Analysis (5)

Instatistics,spectralanalysisisaprocedurethatdecomposesatimeseriesintoaspectrumofcyclesof
differentlengths.Spectralanalysisisalsoknownasfrequencydomainanalysis.
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Function
DFT
IDFT
NxHP
NxBK
NxConv

Description
CalculatesthediscretefastFouriertransformationforamplitudeandphase
CalculatestheinversediscretefastFouriertransformation,recoveringthetimeseries
CalculatestheHodrickPrescott(HP)filtereddata
CalculatestheBaxterKing(BK)filtereddata
Calculatestheconvolutionbetweentwotimeseries

Date & Calendar (8)

TheDateandHolidayCalendarfunctionalitywereintroducedstartinginversion1.56(Zebra)tohelpyou
identifyanyholidays,tradingdays,andweekdaysbiaseffectsthatoftenariseintimeseriesanalysis.
Function
NxAdjust

Description
Examineswhetherthegivendatefallsonaweekendoraholiday(i.e.nonworking
day),andreturnsthenearestworkingbusinessdayusingaBusinessDayConvention
(BDC)
NxEDATE
Returnstheserialnumberofthedateafteragivenperiod(e.g.1week,3months,
etc.)
NxIsWorkday
Examinesagivendateforweekendsandholidays(nonworkingdays),andreturns
FALSEifitfallsonanonworkingday;otherwiseitreturnsTRUE
NxNetWorkdays Returnsthenumberofwholeworkingdaysbetweentwodates(inclusive).Working
daysexcludeweekendsandanydateidentifiedasaholiday
NxNWKDY
Returnstheserialnumberofthenthweekdayinamonth.Ifthetargetweekdayfalls
onaholiday,userscanadjustthedaytothenextorpriorworkday
NxWeekday
Returnsthedayoftheweekcorrespondingtoadate.Thedayisgivenasaninteger,
rangingfrom1(Sunday)to7(Saturday),bydefault.
NxWKDYOrder Returnstheorderoftheweekdayinthemonthforagivendate.Thisistheinverse
operatorofNxNWKDAY
NxWorkday
Returnstheserialdatenumberthatrepresentsthedatethatfallsafterthestartdate
byagivennumberofworkingdays

Weekend (5)
AsofExcel2007,Microsoftsupportsdifferentweekendoccurrencesintheinternationalversionofthe
datefunctions(e.g.WORKDAY.INTL).Theweekendconventionsaredefinedbyeitheranumberora7
characterslongstring(code).
Function
Description
NxIsWeekend ReturnsTRUEifthereferencedatefallsonaweekend
NxWKNDate Returnstheserialdatenumberthatcorrespondstothefirst(last)dayinthenext(last)
weekend
NxWKNDNo Returnstheweekendnumber(17or1117)foragivencountryoraweekendcode
NxWKNDStr Returnsthesevencharacterstringcodeforaweekendnumber(17,1117)
NxWKNDUR Returnstheduration(incalendardays)ofthe(long)weekendthatagivendayfallson

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Holiday (6)
Aholidayisadaydesignatedashavingspecialsignificanceforindividuals,governmentsorreligious
groups.Typically,aholidaydoesnotnecessarilyexcludedoingnormalworkbutforourpurposes,
NumXLassumesallsupportedholidays(e.g.NationalHolidays)excludenormalwork.
Function
NxIsHoliday
NxHolidays
NxFindHLDY
NxHLDYDate
NxHLDYDates

Description
ReturnsTRUEifthereferencedatefallsonaholiday
Returnsanarrayofthematchingsupportedholidaycodes
Returnstheholidaycodethatfallsonthegivendate
Returnsthedateserialnumberthatrepresentstheholidayinthegivenyear
Returnsanarrayofserialdatenumbersthatrepresentobservedholidaysbetweenthe
twogivendates
NxHLDYName Returnsthefullnameoftheholidaythatcorrespondstothegivenshortcode

Calendar (6)
Forfinancialtimeanalysis,acalendarisbasicallyadefinitionofalistofobservedholidaysanda
weekenddaysconvention.
Function
NxCalendars
NxCALHolidays
NxCALName
NxCALWKND

Description
Returnsanarrayofnamesandcodesforthesupportedcalendars
Returnsanarrayoftheholidays'namesandcodesasdefinedforthegivencalendar
Returnsthecalendarnameanddescription,giventhecalendar'sshortcode(e.g.,"US"
willreturn"USGovernmentHolidays")
Returnstheweekendnumberofa7characterstring,calendarcode,orcurrency.Each
characterrepresentsadayoftheweek,beginningwithMonday

ARMA Model (17)

Givenatimeseriesofdata ,theARMAmodelisatoolforunderstandingand,perhaps,predicting
futurevaluesinthisseries.Themodelconsistsoftwoparts,anautoregressive(AR)partandamoving
average(MA)part.ThemodelisusuallythenreferredtoastheARMA(p,q)modelwherepistheorder
oftheautoregressivepartandqistheorderofthemovingaveragepart(asdefinedbelow).
Function
ARMA
ARMA_MEAN
(deprecated)

ARMA_VOL
(deprecated)

NumXLFunctionsList

Description
ReturnsauniquestringtodesignatethespecifiedARMAmodel
Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean.

Note:functionisdeprecatedasofversion1.63:useARMA_FITfunction
instead.
Returnsanarrayofcellsforthefitted(insample)conditional
volatility/standarddeviation

Note:functionisdeprecatedasofversion1.63:useARMA_FITfunction
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ARMA_GUESS
(deprecated)

ARMA_GOF
ARMA_LLF
(deprecated)

ARMA_AIC
(deprecated)

ARMA_CHECK
ARMA_CALIBRATE
(deprecated)

ARMA_ERRORS
(deprecated)

ARMA_RESID
(deprecated)

ARMA_FIT
ARMA_FORE
ARMA_FORESD
(deprecated)

ARMA_FORECI
(deprecated)

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instead.
Returnsanarrayofcellsfortheinitial/quickguessofthemodel's
parameters

Note:functionisdeprecatedasofversion1.63:useARMA_PARAMfunction
instead.
Computesthegoodnessoffitmeasure(e.g.loglikelihoodfunction(LLF),
AIC,etc.)oftheestimatedARIMAmodel
Computestheloglikelihoodfunction(LLF)oftheestimatedARMAmodel.

Note:functionisdeprecatedasofversion1.63:useARMA_GOFfunction
instead.
CalculatestheAkaike'sinformationcriterion(AIC)ofthegivenestimated
ARMAmodel(withcorrectionstosmallsamplesizes).

Note:functionisdeprecatedasofversion1.63:useARMA_GOFfunction
instead.
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,
invertibility,causality,etc.).
Computesthemaximumlikelihoodestimate(MLE)ofthemodel's
parameters.

Note:functionisdeprecatedasofversion1.63:useARMA_PARAMfunction
instead.
Returnsanarrayofcellsfortheestimatederror/standarddeviationofthe
model'sparameters

Note:functionisdeprecatedasofversion1.63:useARMA_PARAMfunction
instead.
ReturnsanarrayofcellsforthestandardizedresidualsofagivenARMA
model.

Note:functionisdeprecatedasofversion1.63:useARMA_FITfunction
instead.
Returnsanarrayofcellsfortheinsamplemodelfittedvaluesofthe
conditionalmean,volatilityorresiduals
Calculatestheoutofsampleconditionalmeanforecast
Calculatestheestimatederror/standarddeviationoftheconditionalmean
forecast.

Note:functionisdeprecatedasofversion1.63:useARMA_FOREfunction
instead.
Returnstheconfidenceintervallimitsoftheconditionalmeanforecast.

Note:functionisdeprecatedasofversion1.63:useARMA_FOREfunction
instead.
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ARMA_PARAM
ARMA_SIM

Returnsanarrayofcellsforthequickguess,optimal(calibrated)orstd.
errorsofthevaluesofthemodel'sparameters
Calculatestheoutofsamplesimulatedvalues

ARMAX
Inprinciple,anARMAXmodelisalinearregressionmodelthatusesanARMAitypeprocess(i.e.
modelresiduals.

)to

Function
ARMAX
ARMAX_GOF

Description
ReturnsauniquestringtodesignatethespecifiedARMAXmodel
Computesthegoodnessoffitmeasure(e.g.loglikelihoodfunction(LLF),AIC,etc.)of
theestimatedARIMAmodel
ARMAX_FIT
Returnsanarrayofcellsfortheinsamplemodelfittedvaluesoftheconditional
mean,volatilityorresiduals
ARMAX_CHECK Examinesthemodel'sparametersforstabilityconstraints(e.g.stationarity,
invertibility,causality,etc.)
ARMAX_PARAM Returnsanarrayofcellsforthequickguess,optimal(calibrated)orstd.errorsofthe
valuesofmodel'sparameters
ARMAX_FORE
Calculatestheoutofsampleconditionalforecast(i.e.mean,errorandconfidence
interval)
ARMAX_SIM
Calculatestheoutofsamplesimulatedvalues

ARIMA Model
TheARIMAmodelisanextensionoftheARMAmodelthatappliestononstationarytimeseries(the
kindoftimeserieswithoneormoreintegratedunitroots).Bydefinition,theautoregressiveintegrated
movingaverage(ARIMA)processisanARMAprocessforthedifferencedtimeseries.
Function
ARIMA
ARIMA_CHECK

Description
ReturnsauniquestringtodesignatethespecifiedARIMAmodel
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationarity,
invertibility,causality,etc.)
ARIMA_FIT
Returnsanarrayofcellsfortheinsamplemodelfittedvaluesoftheconditional
mean,volatilityorresiduals
ARIMA_FORE
Calculatestheoutofsampleconditionalforecast(i.e.mean,error,andconfidence
interval)
ARIMA_GOF
Computesthegoodnessoffitmeasure(e.g.loglikelihoodfunction(LLF),AIC,etc.)of
theestimatedARIMAmodel
ARIMA_PARAM Returnsanarrayofcellsforthequickguess,optimal(calibrated)orstd.errorsofthe
valuesofmodel'sparameters
ARIMA_SIM
Calculatestheoutofsamplesimulatedvalues

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SARIMA
TheSARIMAmodelisanextensionoftheARIMAmodel,oftenusedwhenwesuspectamodelmayhave
aseasonaleffect.Bydefinition,theseasonalautoregressiveintegratedmovingaverage
SARIMA(p,d,q)(P,D,Q)sprocessisamultiplicativeoftwoARMAprocessesofthe
differencedtimeseries.
Function
SARIMA
SARIMA_CHECK

Description
ReturnsauniquestringidentifiertodesignatethespecifiedSARIMAmodel
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationarity,
invertibility,causality,etc.)
SARIMA_FIT
Returnsanarrayofcellsfortheinsamplemodelfittedvaluesoftheconditional
mean,volatilityorresiduals
SARIMA_FORE
Calculatestheoutofsampleconditionalforecast(i.e.mean,error,andconfidence
interval)
SARIMA_GOF
Computesthegoodnessoffitmeasure(e.g.loglikelihoodfunction(LLF),AIC,etc.)of
theestimatedSARIMA,model.
SARIMA_PARAM Returnsanarrayofcellsforthequickguess,optimal(calibrated)orstd.errorsofthe
valuesofmodel'sparameters
SARIMA_SIM
Calculatestheoutofsamplesimulatedvalues

SARIMAX
Inprinciple,anSARIMAXmodelisalinearregressionmodelthatusesaSARIMAtypeprocess(i.e.
Thismodelisusefulincaseswesuspectthatresidualsmayexhibitaseasonaltrendorpattern.

Function
SARIMAX
SARIMAX_CHECK

Description
ReturnsauniquestringidentifiertodesignatethespecifiedSARIMAXmodel
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,
invertibility,causality,etc.)
SARIMAX_FIT
Returnsanarrayofcellsfortheinsamplemodelfittedvaluesoftheconditional
mean,volatilityorresiduals
SARIMAX_FORE
Calculatestheoutofsampleconditionalforecast(i.e.mean,errorandconfidence
interval)
SARIMAX_GOF
Computesthegoodnessoffitmeasure(e.g.loglikelihoodfunction(LLF),AIC,etc.)
oftheestimatedSARIMAmodel.
SARIMAX_PARAM Returnsanarrayofcellsforthequickguess,optimal(calibrated)orstd.errorsof
thevaluesofmodel'sparameters
SARIMAX_SIM
Calculatestheoutofsamplesimulatedvalues

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AIRLINE Model (8)

Theairlinemodelisaspecial,butcommonlyused,caseofthemultiplicativeARIMAmodel.
Function
AIRLINE
AIRLINE_AIC
(deprecated)

Description
ReturnsauniquestringtodesignatethespecifiedAIRLINEmodel
CalculatestheAkaike'sinformationcriterion(AIC)ofthegivenairlinemodel(with
correctionstosmallsamplesizes).

Note:functionisdeprecatedasofversion1.63:useAIRLINE_GOFfunctioninstead.
AIRLINE_LLF
Calculatestheloglikelihoodfunction(LLF)ofthegivenairlinemodel.
(deprecated)

Note:functionisdeprecatedasofversion1.63:useAIRLINE_GOFfunctioninstead.
AIRLINE_CHECK Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,etc.)
AIRLINE_RESID
Returnsanarrayofcellsforthestandardizedresidualsofagivenairlinemodel
(deprecated)

Note:functionisdeprecatedasofversion1.63:useAIRLINE_GOFfunctioninstead.
AIRLINE_MEAN Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean
(deprecated)

Note:functionisdeprecatedasofversion1.63:useAIRLINE_GOFfunctioninstead.
AIRLINE_FIT
Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean
AIRLINE_FORE
Calculatestheoutofsampleconditionalmeanforecast
AIRLINE_FORESD Calculatestheestimatederror/standarddeviationoftheconditionalmeanforecast.
(deprecated)

Note:functionisdeprecatedasofversion1.63:useAIRLINE_GOFfunctioninstead.
AIRLINE_FORECI Returnstheconfidenceintervallimitsoftheconditionalmeanforecast.
(deprecated)

Note:functionisdeprecatedasofversion1.63:useAIRLINE_GOFfunctioninstead.
AIRLINE_GOF
Computesthegoodnessoffitmeasure(e.g.loglikelihoodfunction(LLF),AIC,etc.)of
theestimatedAIRLINEmodel.
AIRLINE_SIM
Calculatestheoutofsamplesimulatedvalues
AIRLINE_PARAM Returnsanarrayofcellsforthequickguess,optimal(calibrated)orstd.errorsofthe
valuesofmodel'sparameters

X12ARIMA Model (4)

NumXLsupportstheX12ARIMAmethod.X12ARIMAisthesoftwareproduced,distributedand
maintainedbytheUnitedStatesCensusBureau.
Function
X12ARIMA
X12APROP

Description
ReturnsauniquestringtodesignatethespecifiedX12ARIMAmodel
Returnsthecurrentoptionstatus(e.g.transformationfunction,outliers)ofagivenX12
ARIMAmodel
X12ACOMP ReturnsthevalueofanX12ARIMAmodeloutputcomponent(e.g.trend,seasonalor
irregular)
X12AFORE Returnstheforecastvalueand/orconfidenceintervallimitsfortheX12ARIMAmodel

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GARCH Model (13)

Ifanautoregressivemovingaveragemodel(ARMAmodel)isassumedfortheerrorvariance,themodel
isageneralizedautoregressiveconditionalheteroskedasticity(GARCH,Bollerslev(1986))model.
Function
GARCH
GARCH_VOL

Description
ReturnsauniquestringtodesignatethespecifiedGARCHmodel
Returnsanarrayofthefitted(insample)conditionalvolatilities/standard
deviations(sigma)
GARCH_GUESS
Returnstheinitialguessofagivenmodel'sparameters
GARCH_LLF
Computestheloglikelihoodfunctionforthefittedmodel
GARCH_AIC
CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedGARCH
model(withcorrectionstosmallsamplesizes)
GARCH_CHECK
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,positive
variance,etc.)
GARCH_VL
CalculatesthelongrunaveragevolatilityforthegivenGARCHmodel
GARCH_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters
GARCH_ERRORS
Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven
model'sparameters
GARCH_RESID
ReturnsanarrayofthestandardizedresidualsforthefittedGARCHmodel
GARCH_FORE
Calculatestheoutofsampleconditionalmeanforecast
GARCH_FORESD
Calculatestheestimatederror/standarddeviationoftheconditionalmean
forecast
GARCH_FORECI
Returnstheconfidenceintervallimitsoftheconditionalmeanforecast
GARCH_SIM
Returnsanarrayofcellsforthemodelsimulatedvalues

EGARCH Model (13)

Theexponentialgeneralautoregressiveconditionalheteroskedastic(EGARCH)modelbyNelson(1991)
isanotherformoftheGARCHmodel,formallycalledEGARCH(p,q).
Function
EGARCH
EGARCH_VOL

Description
ReturnsauniquestringtodesignatethespecifiedEGARCHmodel
Returnsanarrayofthefitted(insample)conditionalvolatilities/standard
deviations
EGARCH_GUESS
Returnstheinitialguessofagivenmodel'sparameters
EGARCH_LLF
Computestheloglikelihoodfunctionforthefittedmodel
EGARCH_AIC
CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedEGARCH
model(withcorrectionsforsmallsamplesizes)
EGARCH_CHECK
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,
positivevariance,etc.)
EGARCH_VL
CalculatesthelongrunaveragevolatilityforthegivenEGARCHmodel
EGARCH_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters
EGARCH_ERRORS
Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven
model'sparameters
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EGARCH_RESID
EGARCH_FORE
EGARCH_FORESD

ReturnsanarrayofthestandardizedresidualsforthefittedEGARCHmodel
Calculatestheoutofsampleconditionalmeanforecast
Calculatestheestimatederror/standarddeviationoftheconditionalmean
forecast
Returnstheconfidenceintervallimitsoftheconditionalmeanforecast
Calculatestheoutofsampleconditionalmeanforecast.

EGARCH_FORECI
EGARCH_SIM

GARCHM Model (14)

Infinance,thereturnofasecuritymaydependonitsvolatility(risk).Tomodelsuchphenomena,the
GARCHinmean(GARCHM)modeladdsaheteroskedasticitytermintothemeanequation.
Function
GARCHM
GARCHM_MEAN
GARCHM_VOL

Description
ReturnsauniquestringtodesignatethespecifiedEGARCHmodel
Returnsanarrayofthefitted(insample)conditionalmeanvalues
Returnsanarrayofthefitted(insample)conditionalvolatilities/standard
deviations
GARCHM_GUESS
Returnstheinitialguessofagivenmodel'sparameters
GARCHM_LLF
Computestheloglikelihoodfunctionforthefittedmodel
GARCHM_AIC
CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedGARCH
Mmodel(withcorrectionsforsmallsamplesizes)
GARCHM_CHECK
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,
positivevariance,etc.)
GARCHM_VL
CalculatesthelongrunaveragevolatilityforthegivenGARCHMmodel
GARCHM_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters
GARCHM_ERRORS
Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven
model'sparameters
GARCHM_RESID
ReturnsanarrayofthestandardizedresidualsforthefittedGARCHMmodel
GARCHM_FORE
Calculatestheoutofsampleconditionalmeanforecast
GARCHM_FORESD
Calculatestheestimatederror/standarddeviationoftheconditionalmean
forecast
GARCHM_FORECI
Returnstheconfidenceintervallimitsoftheconditionalmeanforecast
GARCHM_SIM
Returnsanarrayofcellsforthemodelsimulatedvalues

COMBO Model (12)

Theadvancedmodelsframeworkaddressestheneedtobuildacombomodel.Acombomodelhastwo
components:(1)conditionalmeanmodel(e.g.ARMA),andaconditionalvariancemodel(e.g.GARCH).
Function
TSM_LLF
TSM_AIC
TSM_CHECK

Description
Computestheloglikelihoodfunctionforthefittedmodel
CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedmixedmodel
(withcorrectionsforsmallsamplesizes)
Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,positive

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variance,etc.)
TSM_MEAN
Returnsanarrayofthefitted(insample)conditionalmeanvalues
TSM_VOL
Returnsanarrayofthefitted(insample)conditionalvolatilities/standarddeviations
TSM_RESID
Returnsanarrayofthestandardizedresidualsforthefittedmixedmodel
TSM_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters
TSM_ERRORS
Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven
model'sparameters
TSM_FORE
Calculatestheoutofsampleconditionalmeanforecast
TSM_FORESD
Calculatestheestimatederror/standarddeviationoftheconditionalmeanforecast
TSM_FORECI
Returnstheconfidenceintervallimitsoftheconditionalmeanforecast
MIXED_MODEL Returnsanarrayofcellsforthepackedformofthemixedmodel(i.e.conditional
meanandconditionalvolatilitymodelcomponents)

Generalized Linear Model (14)

Thegeneralizedlinearmodel(GLM)isaflexiblegeneralizationofanordinaryleastsquaresregression.
TheGLMgeneralizeslinearregressionbyallowingthelinearmodeltoberelatedtotheresponse
variable(i.e. )viaalinkfunction(i.e.
)andbyallowingthemagnitudeofthevarianceofeach
measurementtobeafunctionofitspredictedvalue.
Function
GLM
GLM_AIC

Description
ReturnsanarrayofcellsforthepackedformofagivenGLMmodel
CalculatestheAkaike'sinformationcriterion(AIC)oftheGLMmodel(with
correctionstosmallsamplesizes)
GLM_LLF
Computestheloglikelihoodfunction(LLF)oftheGLMmodel
GLM_RSQ
Calculatestheplaincoefficientofdetermination(RSquared),ortheadjustedR
Squared(adjustsforthenumberofexplanatorytermsinamodel)
GLM_CHECK
Examinesthemodel'sparametersforconstraints(e.g.positivevariance,etc.)
GLM_GUESS
Returnsanarrayofcellsfortheinitial(nonoptimal)guessofthemodel'sparameters
GLM_CALIBRATE Computesthemaximumlikelihoodestimate(MLE)ofthemodel'sparameters
GLM_ERRORS
Returnsanarrayofcellsfortheestimatederror/standarddeviationofthemodel's
parameters
GLM_FORE
Calculatestheexpectedresponse(i.e.mean)value;giventheGLMmodelandthe
valuesoftheexplanatoryvariables
GLM_FORESD
Calculatesthestandarddeviation(sigmaoftheerrorterms(epsilon))oftheGLM
model;giventhevaluesofexplanatoryvariables
GLM_FORECI
Calculatesthestandarddeviation(sigmaoftheerrorterms(epsilon))oftheGLM
model;giventhevaluesofexplanatoryvariables
GLM_MEAN
Calculatestheexpectedresponse(i.e.mean)value;giventheGLMmodelandthe
valuesoftheexplanatoryvariables
GLM_VOL
Calculatesthestandarddeviation(sigma)oftheerrorterms(epsilon)inthegiven
GLMmodel
GLM_RESID
Returnsthestandardizedresiduals/errorsofagivenGLM

NumXLFunctionsList

12

SpiderFinancialCorp,2014

Simple Linear Regression Model (5)

Simplelinearregression(SLR)istheleastsquaresestimatorofalinearregressionmodelwithasingle
explanatoryvariable.
Function
SLR_PARAM
SLR_FITTED
SLR_FORE
SLR_ANOVA
SLR_GOF

Description
CalculatestheOLSregressioncoefficientsvalues
Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean(orresiduals)
Calculatestheforecastvalue,errorandconfidenceintervalforregressionmodel
Calculatestheregressionmodelanalysisofthevariance(ANOVA)values
Calculatesameasureforthegoodnessoffit(e.g.R^2).

Multiple Linear Regression Model (7)

Multiplelinearregression(SLR)istheleastsquaresestimatorofalinearregressionmodelwitha
multipleexplanatoryvariables.
Function
MLR_PARAM
MLR_FITTED
MLR_FORE
MLR_ANOVA
MLR_GOF
MLR_PRFTest

Description
Calculatestheregressioncoefficientsvaluesforagiveninputvariable
Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean(orresiduals)
Calculatestheforecastvalue,errorandconfidenceintervalforregressionmodel
Calculatestheregressionmodelanalysisofthevariance(ANOVA)values
Calculatesameasureforthegoodnessoffit(e.g.R^2).
Calculatesthepvalueandrelatedstatisticsofthepartialftest(usedfortestingthe
inclusion/exclusionvariables).
MLR_STEPWISE Returnsalistoftheselectedvariablesafterperformingthestepwiseregression

Principal Component Analysis (9)

Principalcomponentanalysis(PCA)isamathematicalprocedurethatusesanorthogonallinear
transformationtoconvertasetofobservationsofpossiblycorrelatedvariablesintoasetofvaluesof
linearlyuncorrelatedvariablescalledprincipalcomponents.
Function
PCA_COMP
PCA_VAR
PCR_PARAM
PCR_FITTED
PCR_FORE
PCR_ANOVA

Description
Returnsanarrayofcellsfortheithprincipalcomponent(orresiduals)
Returnsanarrayofcellsfortheithprincipalcomponent(orresiduals)
Calculatestheregressioncoefficientsvaluesforagiveninputvariable
Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean(orresiduals)
Calculatestheforecastvalue,errorandconfidenceintervalforregressionmodel
Calculatestheregressionmodel(ofprincipalcomponents)analysisofvariance
(ANOVA)values
PCR_GOF
Calculatesameasureforthegoodnessoffit(e.g.Rsquare,adjustedRsquare,MSRE,
LLF,AIC,etc.)
PCR_PRFTest
CalculatesthepvalueandrelatedstatisticsofthepartialftestforPCR(usedfor
testingtheinclusion/exclusionvariables.
PCR_STEPWISE Returnsalistoftheselectedvariablesafterperformingthestepwiseregression
NumXLFunctionsList

13

SpiderFinancialCorp,2014

Portfolio Analysis (3)

NumXLalsofeaturesanumberoffunctionstofacilitatethemultiassetsportfoliocalculations
Function
PORT_RET
PORT_VOL
PORT_COVAR

Description
Calculatestheportfolioequivalentreturn
Calculatestheportfolioequivalentvolatility
Calculatesthecovariancebetweentwoportfoliosweighting

Utilities (9)
NumXLalsofeaturesanumberoffunctionsthatdonotfitintoourmainfunctioncategories.These
"orphan"functions,includinginterpolation,extrapolation,andexcesskurtosisofaGED/Studentst
distribution,aregroupedtogetherinthe"utilities"category.
Function
INTERPOLATE
HASNA
NxTokenize
NxReplace
NxMatch
NxRegress
MV_VARS
MV_OBS
NUMXL_INFO

Description
Returnsanarrayofcellsfortheinterpolatedfunctionvalue(s)
CheckswhethertheinputarraycontainsanymissingvaluesandreturnsTRUEorFALSE
Returnsthenthtoken/substringinastringaftersplittingitusingagivendelimiter
Returnsthemodifiedstringafterperformingmatch/replaceonthegivenstring
ReturnsTRUEifthestringmatchestheregularexpressionexpressed
Calculatesthevalueoftheregressionfunctionforanintermediatexvalue
Calculatesthenumberofvariablesinagivendataset.
Calculatesthenumberofnonmissingobservationsinadataset(XandY).
ReturnsversionandlicenseinformationforthelocalNumXLinstallation

NumXLFunctionsList

14

SpiderFinancialCorp,2014