Class AR1GARCH11Model


  • public class AR1GARCH11Model
    extends ARMAGARCHModel
    An AR1-GARCH11 model takes this form. \[ X_t = \mu + \phi X_{t-1} + \epsilon_t \\ h_t = \alpha_0 + \alpha_1 e_{t-1}^2 + \beta_1 h_{t-1} \]
    • Constructor Detail

      • AR1GARCH11Model

        public AR1GARCH11Model​(double mu,
                               double phi,
                               double a0,
                               double a1,
                               double b1)
    • Method Detail

      • a0

        public double a0()
        Gets the constant coefficient.
        Returns:
        the constant coefficient
      • alpha

        public double alpha()
        Gets the ARCH coefficient.
        Returns:
        the ARCH coefficient
      • beta

        public double beta()
        Gets the GARCH coefficient.
        Returns:
        the GARCH coefficient
      • sigma2

        public double sigma2​(double e2,
                             double sigma2_lag)
        Computes the conditional variance based on the past information.
        Parameters:
        e2 - the last squared observation
        sigma2_lag - the last conditional variance
        Returns:
        the conditional variance, h(t | Ft)
      • conditionalMean

        public double conditionalMean​(double x)
        Compute the univariate AR1 conditional mean, given the last lag.
        Parameters:
        x - the last AR lags
        Returns:
        the conditional mean