public class ARMAGARCHFit extends Object
garchFit in fGarch.| Modifier and Type | Field and Description |
|---|---|
static int |
DEFAULT_MAXIMUM_ITERATIONS |
static double |
DEFAULT_TOLERANCE |
| Constructor and Description |
|---|
ARMAGARCHFit(double[] x,
int AR,
int MA,
int p,
int q)
Constructs a model with the default tolerance and
maximum number of iterations.
|
ARMAGARCHFit(double[] x,
int AR,
int MA,
int p,
int q,
double epsilon,
int maxIterations)
Constructs a model.
|
| Modifier and Type | Method and Description |
|---|---|
ARMAGARCHModel |
getARMAGARCHModel() |
double[] |
getMeanForecast(int k)
Calculates the k-step ahead forecast of X in ARMA model.
|
double[] |
getMeanResidual() |
double[] |
getVarForecast(int k)
Calculates the k-step ahead of conditional variance h in GARCH model.
|
double[] |
getVarResidual() |
public static final double DEFAULT_TOLERANCE
public static final int DEFAULT_MAXIMUM_ITERATIONS
public ARMAGARCHFit(double[] x,
int AR,
int MA,
int p,
int q,
double epsilon,
int maxIterations)
x - the input seriesAR - the order for AR in ARMA modelMA - the order for MA in ARMA modelp - the order for GARCH in GARCH modelq - the order for ARCH in GARCH modelepsilon - the tolerancemaxIterations - the maximum number of optimization stepspublic ARMAGARCHFit(double[] x,
int AR,
int MA,
int p,
int q)
x - the input seriesAR - the order for AR in ARMA modelMA - the order for MA in ARMA modelp - the order for ARCH in GARCH modelq - the order for GARCH in GARCH modelpublic ARMAGARCHModel getARMAGARCHModel()
public double[] getMeanForecast(int k)
k - the number of forecastspublic double[] getVarForecast(int k)
k - the number of forecastspublic double[] getMeanResidual()
public double[] getVarResidual()
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