Package dev.nm.stat.timeseries.linear.univariate.stationaryprocess.garch

Class GARCHSim

java.lang.Object

dev.nm.stat.timeseries.linear.univariate.stationaryprocess.garch.GARCHSim

All Implemented Interfaces:

RandomNumberGenerator, Seedable

public class GARCHSim
extends Object
implements RandomNumberGenerator

This class simulates the GARCH models of this form. \[ h_t = \alpha_0 + \sum_{i=1}^{q} (\alpha_i e_{t-i}^2) + \sum_{i=1}^{p} (\beta_i h_{t-i}) \] p is the order of the GARCH terms h_t-i; q is the order of the ARCH terms e_t-i².

See Also:

• • Wikipedia: GARCH
  • Wikipedia: Autoregressive conditional heteroskedasticity

Constructor Summary

Constructors

Constructor	Description
GARCHSim(GARCHModel model)	Simulate an GARCH model.
GARCHSim(GARCHModel model, double[] z, RandomNumberGenerator rng)	Simulate an GARCH model.
GARCHSim(GARCHModel model, RandomNumberGenerator rng)	Simulate an GARCH model.

Method Summary

Modifier and Type	Method	Description
double	nextDouble()	Get the next random double.
Pair	nextPair()	Get the next random (e2_t, h_t).
void	seed(long... seeds)	Seed the random number/vector/scenario generator to produce repeatable experiments.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

GARCHSim

public GARCHSim(GARCHModel model,
 double[] z,
 RandomNumberGenerator rng)

Simulate an GARCH model.

Parameters:

model - a GARCH model

z - the innovations; size = q

rng - a random number generator

GARCHSim

public GARCHSim(GARCHModel model,
 RandomNumberGenerator rng)

Simulate an GARCH model. The innovations are initialized to 0.

Parameters:

model - a GARCH model

rng - a random number generator

GARCHSim

public GARCHSim(GARCHModel model)

Simulate an GARCH model. The innovations are initialized to 0.

Parameters:

model - a GARCH model

Method Details

seed

public void seed(long... seeds)

Description copied from interface: Seedable

Seed the random number/vector/scenario generator to produce repeatable experiments.

Specified by:

seed in interface Seedable

Parameters:

seeds - the seeds

nextDouble

public double nextDouble()

Description copied from interface: RandomNumberGenerator

Get the next random double.

Specified by:

nextDouble in interface RandomNumberGenerator

Returns:

the next random number

nextPair

public Pair nextPair()

Get the next random (e2_t, h_t).

Returns:

the next random (e2_t, h_t)