public class ARMAGARCHFit extends Object
garchFit
in fGarch
.Modifier and Type | Field and Description |
---|---|
static int |
DEFAULT_MAXIMUM_ITERATIONS |
static double |
DEFAULT_TOLERANCE |
Constructor and Description |
---|
ARMAGARCHFit(double[] x,
int AR,
int MA,
int p,
int q)
Constructs a model with the default tolerance and
maximum number of iterations.
|
ARMAGARCHFit(double[] x,
int AR,
int MA,
int p,
int q,
double epsilon,
int maxIterations)
Constructs a model.
|
Modifier and Type | Method and Description |
---|---|
ARMAGARCHModel |
getARMAGARCHModel() |
double[] |
getMeanForecast(int k)
Calculates the k-step ahead forecast of X in ARMA model.
|
double[] |
getMeanResidual() |
double[] |
getVarForecast(int k)
Calculates the k-step ahead of conditional variance h in GARCH model.
|
double[] |
getVarResidual() |
public static final double DEFAULT_TOLERANCE
public static final int DEFAULT_MAXIMUM_ITERATIONS
public ARMAGARCHFit(double[] x, int AR, int MA, int p, int q, double epsilon, int maxIterations)
x
- the input seriesAR
- the order for AR in ARMA modelMA
- the order for MA in ARMA modelp
- the order for GARCH in GARCH modelq
- the order for ARCH in GARCH modelepsilon
- the tolerancemaxIterations
- the maximum number of optimization stepspublic ARMAGARCHFit(double[] x, int AR, int MA, int p, int q)
x
- the input seriesAR
- the order for AR in ARMA modelMA
- the order for MA in ARMA modelp
- the order for ARCH in GARCH modelq
- the order for GARCH in GARCH modelpublic ARMAGARCHModel getARMAGARCHModel()
public double[] getMeanForecast(int k)
k
- the number of forecastspublic double[] getVarForecast(int k)
k
- the number of forecastspublic double[] getMeanResidual()
public double[] getVarResidual()
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