Class GARCHSim

    • Constructor Detail

      • GARCHSim

        public GARCHSim​(GARCHModel model,
                        double[] z,
                        RandomNumberGenerator rng)
        Simulate an GARCH model.
        Parameters:
        model - a GARCH model
        z - the innovations; size = q
        rng - a random number generator
      • GARCHSim

        public GARCHSim​(GARCHModel model,
                        RandomNumberGenerator rng)
        Simulate an GARCH model. The innovations are initialized to 0.
        Parameters:
        model - a GARCH model
        rng - a random number generator
      • GARCHSim

        public GARCHSim​(GARCHModel model)
        Simulate an GARCH model. The innovations are initialized to 0.
        Parameters:
        model - a GARCH model
    • Method Detail

      • seed

        public void seed​(long... seeds)
        Description copied from interface: Seedable
        Seed the random number/vector/scenario generator to produce repeatable experiments.
        Specified by:
        seed in interface Seedable
        Parameters:
        seeds - the seeds
      • nextPair

        public Pair nextPair()
        Get the next random (e2_t, h_t).
        Returns:
        the next random (e2_t, h_t)