public class GARCH11Model extends GARCHModel
| Constructor and Description |
|---|
GARCH11Model(double a0,
double a1,
double b1)
Construct a GARCH(1,1) model.
|
| Modifier and Type | Method and Description |
|---|---|
double |
a1()
Gets the ARCH coefficient.
|
double |
b1()
Gets the GARCH coefficient.
|
double |
sigma2(double e2,
double sigma2_lag)
Computes the conditional variance based on the past information.
|
public GARCH11Model(double a0,
double a1,
double b1)
a0 - the constant terma1 - the ARCH coefficientb1 - the GARCH coefficientpublic double a1()
public double b1()
public double sigma2(double e2,
double sigma2_lag)
e2 - the last squared observationsigma2_lag - the last conditional varianceCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.