public class SimpleGARCHFit extends Object implements ResamplerModel
| Constructor and Description |
|---|
SimpleGARCHFit(Matrix mts) |
| Modifier and Type | Method and Description |
|---|---|
Matrix |
fittedValues() |
Matrix |
sigma2()
Gets the conditional variances of residuals over time.
|
Matrix |
standarizedInnovations()
Gets the standarized innovations (normalized by the conditional standard
deviation at the time) of the time series.
|
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, waitfittedValuespublic SimpleGARCHFit(Matrix mts)
public Matrix fittedValues()
fittedValues in interface ResamplerModelpublic Matrix standarizedInnovations()
ResamplerModelstandarizedInnovations in interface ResamplerModelpublic Matrix sigma2()
ResamplerModelsigma2 in interface ResamplerModelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.