public class GARCHSim extends Object implements RandomNumberGenerator
| Constructor and Description |
|---|
GARCHSim(GARCHModel model)
Simulate an GARCH model.
|
GARCHSim(GARCHModel model,
double[] z,
RandomNumberGenerator rng)
Simulate an GARCH model.
|
GARCHSim(GARCHModel model,
RandomNumberGenerator rng)
Simulate an GARCH model.
|
| Modifier and Type | Method and Description |
|---|---|
double |
nextDouble()
Get the next random
double. |
Pair |
nextPair()
Get the next random (e2_t, h_t).
|
void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
|
public GARCHSim(GARCHModel model, double[] z, RandomNumberGenerator rng)
model - a GARCH modelz - the innovations; size = qrng - a random number generatorpublic GARCHSim(GARCHModel model, RandomNumberGenerator rng)
model - a GARCH modelrng - a random number generatorpublic GARCHSim(GARCHModel model)
model - a GARCH modelpublic void seed(long... seeds)
Seedablepublic double nextDouble()
RandomNumberGeneratordouble.nextDouble in interface RandomNumberGeneratorpublic Pair nextPair()
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