public class GARCHSim extends Object implements RandomNumberGenerator
Constructor and Description |
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GARCHSim(GARCHModel model)
Simulate an GARCH model.
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GARCHSim(GARCHModel model,
double[] z,
RandomNumberGenerator rng)
Simulate an GARCH model.
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GARCHSim(GARCHModel model,
RandomNumberGenerator rng)
Simulate an GARCH model.
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Modifier and Type | Method and Description |
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double |
nextDouble()
Get the next random
double . |
Pair |
nextPair()
Get the next random (e2_t, h_t).
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void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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public GARCHSim(GARCHModel model, double[] z, RandomNumberGenerator rng)
model
- a GARCH modelz
- the innovations; size = qrng
- a random number generatorpublic GARCHSim(GARCHModel model, RandomNumberGenerator rng)
model
- a GARCH modelrng
- a random number generatorpublic GARCHSim(GARCHModel model)
model
- a GARCH modelpublic void seed(long... seeds)
Seedable
public double nextDouble()
RandomNumberGenerator
double
.nextDouble
in interface RandomNumberGenerator
public Pair nextPair()
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