Uses of Package
dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch
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Packages that use dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch Package Description dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch -
Classes in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch used by dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch Class Description ARMAGARCHModel An ARMA-GARCH model takes this form: \[ X_t = \mu + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \epsilon_t, \\ \epsilon_t = \sqrt{h_t\eta_t}, \\ h_t = \alpha_0 + \sum_{i=1}^{r} (\alpha_i e_{t-i}^2) + \sum_{i=1}^{s} (\beta_i h_{t-i}) \]