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.