public class GARCHFit extends Object
garch in tseries and garchFit in
fGarch.| Modifier and Type | Class and Description |
|---|---|
static class |
GARCHFit.GRADIENT
the available methods to compute the gradient to guild the optimization search
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| Constructor and Description |
|---|
GARCHFit(double[] e_t,
int p,
int q)
Fit a GARCH(p, q) model to a time series.
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GARCHFit(double[] e_t,
int p,
int q,
double epsilon,
int maxIterations,
GARCHFit.GRADIENT grad)
Fit a GARCH(p, q) model to a time series.
|
public GARCHFit(double[] e_t,
int p,
int q,
double epsilon,
int maxIterations,
GARCHFit.GRADIENT grad)
e_t - a time series of the observations/residualsp - the GARCH part orderq - the ARCH orderepsilon - a precision parameter: when a number |x| ≤ ε, it is
considered 0maxIterations - the maximum number of iterationsgrad - the method to compute the gradientpublic GARCHFit(double[] e_t,
int p,
int q)
e_t - a time series of the observations/residualsp - the GARCH part orderq - the ARCH orderpublic GARCHModel getModel()
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