Package | Description |
---|---|
dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch |
Class and Description |
---|
ARMAGARCHModel
An ARMA-GARCH model takes this form:
\[
X_t = \mu + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \epsilon_t,
\\
\epsilon_t = \sqrt{h_t\eta_t},
\\
h_t = \alpha_0 + \sum_{i=1}^{r} (\alpha_i e_{t-i}^2) + \sum_{i=1}^{s} (\beta_i h_{t-i})
\]
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.