Class SimpleGARCHMoments2
- java.lang.Object
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- tech.nmfin.portfoliooptimization.lai2010.fit.SimpleGARCHMoments2
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- All Implemented Interfaces:
ReturnsMoments.Estimator
public class SimpleGARCHMoments2 extends Object implements ReturnsMoments.Estimator
Estimates the moments by GARCH model.
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Constructor Summary
Constructors Constructor Description SimpleGARCHMoments2(GARCHResamplerFactory2 f)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description ReturnsMoments
estimate(Matrix stdinno)
Estimates the moments from a given returns matrix.
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Constructor Detail
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SimpleGARCHMoments2
public SimpleGARCHMoments2(GARCHResamplerFactory2 f)
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Method Detail
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estimate
public ReturnsMoments estimate(Matrix stdinno)
Description copied from interface:ReturnsMoments.Estimator
Estimates the moments from a given returns matrix.- Specified by:
estimate
in interfaceReturnsMoments.Estimator
- Parameters:
stdinno
- a returns matrix (T-by-N)- Returns:
- the estimated moments
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