Class GARCH11Model
- java.lang.Object
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- dev.nm.stat.timeseries.linear.univariate.stationaryprocess.garch.GARCHModel
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- dev.nm.stat.timeseries.linear.univariate.stationaryprocess.garch.GARCH11Model
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public class GARCH11Model extends GARCHModel
An GARCH11 model takes this form. \[ h_t = \alpha_0 + \alpha_1 e_{t-1}^2 + \beta_1 h_{t-1} \]
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Constructor Summary
Constructors Constructor Description GARCH11Model(double a0, double a1, double b1)
Construct a GARCH(1,1) model.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
a1()
Gets the ARCH coefficient.double
b1()
Gets the GARCH coefficient.double
sigma2(double e2, double sigma2_lag)
Computes the conditional variance based on the past information.
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Method Detail
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a1
public double a1()
Gets the ARCH coefficient.- Returns:
- the ARCH coefficient
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b1
public double b1()
Gets the GARCH coefficient.- Returns:
- the GARCH coefficient
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sigma2
public double sigma2(double e2, double sigma2_lag)
Computes the conditional variance based on the past information.- Parameters:
e2
- the last squared observationsigma2_lag
- the last conditional variance- Returns:
- the conditional variance, h(t | Ft)
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