public class GARCHResamplerFactory2 extends Object implements ReturnsResamplerFactory
Modifier and Type | Field and Description |
---|---|
SimpleGARCHFit |
fit |
Vector |
initialReturns |
Vector |
initialSigma2 |
Matrix |
sigma2 |
Matrix |
stdinno |
Constructor and Description |
---|
GARCHResamplerFactory2() |
GARCHResamplerFactory2(RandomLongGenerator uniform) |
Modifier and Type | Method and Description |
---|---|
MultivariateResampler |
newResampler(Matrix returns)
Constructs a new instance of a re-sampling mechanism.
|
public SimpleGARCHFit fit
public Matrix sigma2
public Matrix stdinno
public Vector initialSigma2
public Vector initialReturns
public GARCHResamplerFactory2(RandomLongGenerator uniform)
public GARCHResamplerFactory2()
public MultivariateResampler newResampler(Matrix returns)
ReturnsResamplerFactory
newResampler
in interface ReturnsResamplerFactory
returns
- multivariate samples or multivariate time seriesCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.