Class GARCHResamplerFactory2
- java.lang.Object
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- tech.nmfin.portfoliooptimization.lai2010.ceta.npeb.resampler.GARCHResamplerFactory2
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- All Implemented Interfaces:
ReturnsResamplerFactory
public class GARCHResamplerFactory2 extends Object implements ReturnsResamplerFactory
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Field Summary
Fields Modifier and Type Field Description SimpleGARCHFit
fit
Vector
initialReturns
Vector
initialSigma2
Matrix
sigma2
Matrix
stdinno
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Constructor Summary
Constructors Constructor Description GARCHResamplerFactory2()
GARCHResamplerFactory2(RandomLongGenerator uniform)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description MultivariateResampler
newResampler(Matrix returns)
Constructs a new instance of a re-sampling mechanism.
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Field Detail
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fit
public SimpleGARCHFit fit
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sigma2
public Matrix sigma2
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stdinno
public Matrix stdinno
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initialSigma2
public Vector initialSigma2
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initialReturns
public Vector initialReturns
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Constructor Detail
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GARCHResamplerFactory2
public GARCHResamplerFactory2(RandomLongGenerator uniform)
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GARCHResamplerFactory2
public GARCHResamplerFactory2()
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Method Detail
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newResampler
public MultivariateResampler newResampler(Matrix returns)
Description copied from interface:ReturnsResamplerFactory
Constructs a new instance of a re-sampling mechanism.- Specified by:
newResampler
in interfaceReturnsResamplerFactory
- Parameters:
returns
- multivariate samples or multivariate time series- Returns:
- a new instance of a re-sampler
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