Package tech.nmfin.portfoliooptimization.lai2010.fit
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Interface Summary Interface Description ResamplerModel -
Class Summary Class Description SimpleAR1Fit This class does a quick AR(1) fitting to the time series, essentially treating the returns as independent.SimpleAR1Moments SimpleGARCHFit This class does a quick GARCH(1,1) fitting to the time series, essentially treating the returns as independent.SimpleGARCHMoments1 Estimates the moments by GARCH model.SimpleGARCHMoments2 Estimates the moments by GARCH model.