public class GARCHFit extends Object
garch
in tseries
and garchFit
in
fGarch
.Modifier and Type | Class and Description |
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static class |
GARCHFit.GRADIENT
the available methods to compute the gradient to guild the optimization search
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Constructor and Description |
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GARCHFit(double[] e_t,
int p,
int q)
Fit a GARCH(p, q) model to a time series.
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GARCHFit(double[] e_t,
int p,
int q,
double epsilon,
int maxIterations,
GARCHFit.GRADIENT grad)
Fit a GARCH(p, q) model to a time series.
|
public GARCHFit(double[] e_t, int p, int q, double epsilon, int maxIterations, GARCHFit.GRADIENT grad)
e_t
- a time series of the observations/residualsp
- the GARCH part orderq
- the ARCH orderepsilon
- a precision parameter: when a number |x| ≤ ε, it is
considered 0maxIterations
- the maximum number of iterationsgrad
- the method to compute the gradientpublic GARCHFit(double[] e_t, int p, int q)
e_t
- a time series of the observations/residualsp
- the GARCH part orderq
- the ARCH orderpublic GARCHModel getModel()
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