public class AR1GARCH11Model extends ARMAGARCHModel
| Constructor and Description |
|---|
AR1GARCH11Model(double mu,
double phi,
double a0,
double a1,
double b1) |
| Modifier and Type | Method and Description |
|---|---|
double |
a0()
Gets the constant coefficient.
|
double |
alpha()
Gets the ARCH coefficient.
|
double |
beta()
Gets the GARCH coefficient.
|
double |
conditionalMean(double x)
Compute the univariate AR1 conditional mean, given the last lag.
|
double |
sigma2(double e2,
double sigma2_lag)
Computes the conditional variance based on the past information.
|
getARMAModel, getGARCHModelpublic AR1GARCH11Model(double mu,
double phi,
double a0,
double a1,
double b1)
public double a0()
public double alpha()
public double beta()
public double sigma2(double e2,
double sigma2_lag)
e2 - the last squared observationsigma2_lag - the last conditional variancepublic double conditionalMean(double x)
x - the last AR lagsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.