Class ARMAGARCHModel

  • Direct Known Subclasses:
    AR1GARCH11Model

    public class ARMAGARCHModel
    extends Object
    An ARMA-GARCH model takes this form: \[ X_t = \mu + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \epsilon_t, \\ \epsilon_t = \sqrt{h_t\eta_t}, \\ h_t = \alpha_0 + \sum_{i=1}^{r} (\alpha_i e_{t-i}^2) + \sum_{i=1}^{s} (\beta_i h_{t-i}) \]
    • Constructor Detail

      • ARMAGARCHModel

        public ARMAGARCHModel​(ARMAModel arma,
                              GARCHModel garch)
        Construct a univariate ARMA-GARCH model.
        Parameters:
        arma - the ARMA part of the model
        garch - the GARCH part of the model
    • Method Detail

      • getARMAModel

        public ARMAModel getARMAModel()
        Get the ARMA part of this model.
        Returns:
        the ARMA part
      • getGARCHModel

        public GARCHModel getGARCHModel()
        Get the GARCH part of this model.
        Returns:
        the GARCH part