public class SimpleGARCHFit extends Object implements ResamplerModel
Constructor and Description |
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SimpleGARCHFit(Matrix mts) |
Modifier and Type | Method and Description |
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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.
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
fittedValues
public SimpleGARCHFit(Matrix mts)
public Matrix fittedValues()
fittedValues
in interface ResamplerModel
public Matrix standarizedInnovations()
ResamplerModel
standarizedInnovations
in interface ResamplerModel
public Matrix sigma2()
ResamplerModel
sigma2
in interface ResamplerModel
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