Class GARCH11Model


  • public class GARCH11Model
    extends GARCHModel
    An GARCH11 model takes this form. \[ h_t = \alpha_0 + \alpha_1 e_{t-1}^2 + \beta_1 h_{t-1} \]
    • Constructor Detail

      • GARCH11Model

        public GARCH11Model​(double a0,
                            double a1,
                            double b1)
        Construct a GARCH(1,1) model.
        Parameters:
        a0 - the constant term
        a1 - the ARCH coefficient
        b1 - the GARCH coefficient
    • Method Detail

      • a1

        public double a1()
        Gets the ARCH coefficient.
        Returns:
        the ARCH coefficient
      • b1

        public double b1()
        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)