Class ARMAGARCHModel
- java.lang.Object
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- dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch.ARMAGARCHModel
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- Direct Known Subclasses:
AR1GARCH11Model
public class ARMAGARCHModel extends Object
An ARMA-GARCH model takes this form: \[ X_t = \mu + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \epsilon_t, \\ \epsilon_t = \sqrt{h_t\eta_t}, \\ h_t = \alpha_0 + \sum_{i=1}^{r} (\alpha_i e_{t-i}^2) + \sum_{i=1}^{s} (\beta_i h_{t-i}) \]
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Constructor Summary
Constructors Constructor Description ARMAGARCHModel(ARMAModel arma, GARCHModel garch)
Construct a univariate ARMA-GARCH model.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description ARMAModel
getARMAModel()
Get the ARMA part of this model.GARCHModel
getGARCHModel()
Get the GARCH part of this model.
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Constructor Detail
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ARMAGARCHModel
public ARMAGARCHModel(ARMAModel arma, GARCHModel garch)
Construct a univariate ARMA-GARCH model.- Parameters:
arma
- the ARMA part of the modelgarch
- the GARCH part of the model
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Method Detail
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getARMAModel
public ARMAModel getARMAModel()
Get the ARMA part of this model.- Returns:
- the ARMA part
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getGARCHModel
public GARCHModel getGARCHModel()
Get the GARCH part of this model.- Returns:
- the GARCH part
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