public class AR1GARCH11Model extends ARMAGARCHModel
Constructor and Description |
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AR1GARCH11Model(double mu,
double phi,
double a0,
double a1,
double b1) |
Modifier and Type | Method and Description |
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double |
a0()
Gets the constant coefficient.
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double |
alpha()
Gets the ARCH coefficient.
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double |
beta()
Gets the GARCH coefficient.
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double |
conditionalMean(double x)
Compute the univariate AR1 conditional mean, given the last lag.
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double |
sigma2(double e2,
double sigma2_lag)
Computes the conditional variance based on the past information.
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getARMAModel, getGARCHModel
public AR1GARCH11Model(double mu, double phi, double a0, double a1, double b1)
public double a0()
public double alpha()
public double beta()
public double sigma2(double e2, double sigma2_lag)
e2
- the last squared observationsigma2_lag
- the last conditional variancepublic double conditionalMean(double x)
x
- the last AR lagsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.