Class GARCHFit


  • public class GARCHFit
    extends Object
    This implementation fits, for a data set, a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model by maximizing the likelihood function using the gradient information.

    The R equivalent functions are garch in tseries and garchFit in fGarch.

    • Constructor Detail

      • GARCHFit

        public GARCHFit​(double[] e_t,
                        int p,
                        int q,
                        double epsilon,
                        int maxIterations,
                        GARCHFit.GRADIENT grad)
        Fit a GARCH(p, q) model to a time series.
        Parameters:
        e_t - a time series of the observations/residuals
        p - the GARCH part order
        q - the ARCH order
        epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0
        maxIterations - the maximum number of iterations
        grad - the method to compute the gradient
      • GARCHFit

        public GARCHFit​(double[] e_t,
                        int p,
                        int q)
        Fit a GARCH(p, q) model to a time series.
        Parameters:
        e_t - a time series of the observations/residuals
        p - the GARCH part order
        q - the ARCH order
    • Method Detail

      • getModel

        public GARCHModel getModel()
        Get the fitted GARCH model.
        Returns:
        the fitted GARCH model, the estimators.