Class GARCHFit
- java.lang.Object
-
- dev.nm.stat.timeseries.linear.univariate.stationaryprocess.garch.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 aregarch
intseries
andgarchFit
infGarch
.
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
GARCHFit.GRADIENT
the available methods to compute the gradient to guild the optimization search
-
Constructor Summary
Constructors Constructor Description GARCHFit(double[] e_t, int p, int q)
Fit a GARCH(p, q) model to a time series.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.
-
-
-
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/residualsp
- the GARCH part orderq
- the ARCH orderepsilon
- a precision parameter: when a number |x| ≤ ε, it is considered 0maxIterations
- the maximum number of iterationsgrad
- 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/residualsp
- the GARCH part orderq
- the ARCH order
-
-
Method Detail
-
getModel
public GARCHModel getModel()
Get the fitted GARCH model.- Returns:
- the fitted GARCH model, the estimators.
-
-