public class GARCHModel extends Object
| Constructor and Description |
|---|
GARCHModel(double a0,
double[] a,
double[] b)
Construct a GARCH model.
|
GARCHModel(GARCHModel that)
Copy constructor.
|
| Modifier and Type | Method and Description |
|---|---|
double |
a0()
Get the constant term.
|
double[] |
alpha()
Get the ARCH coefficients.
|
double[] |
beta()
Get the GARCH coefficients.
|
int |
maxPQ()
Get the maximum of the ARCH length or GARCH length.
|
int |
p()
Get the number of GARCH terms.
|
int |
q()
Get the number of ARCH terms.
|
double |
sigma2(double[] e2,
double[] sigma2_lag)
Compute the conditional variance based on the past information.
|
String |
toString() |
double |
var()
Compute the unconditional variance of the GARCH model.
|
public GARCHModel(double a0,
double[] a,
double[] b)
a0 - the constant terma - the ARCH coefficientsb - the GARCH coefficientspublic GARCHModel(GARCHModel that)
that - a GARCH modelpublic double a0()
public double[] alpha()
nullpublic double[] beta()
nullpublic int p()
public int q()
public int maxPQ()
public double var()
public double sigma2(double[] e2,
double[] sigma2_lag)
e2 - the last q squared observationssigma2_lag - the last p conditional variancesCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.