Package dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch
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Class Summary Class Description AR1GARCH11Model An AR1-GARCH11 model takes this form.ARMAGARCHFit This implementation fits, for a data set, an ARMA-GARCH model by Quasi-Maximum Likelihood Estimation.ARMAGARCHModel An ARMA-GARCH model takes this form: \[ X_t = \mu + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \epsilon_t, \\ \epsilon_t = \sqrt{h_t\eta_t}, \\ h_t = \alpha_0 + \sum_{i=1}^{r} (\alpha_i e_{t-i}^2) + \sum_{i=1}^{s} (\beta_i h_{t-i}) \]