Class SimpleGARCHFit

  • All Implemented Interfaces:
    ResamplerModel

    public class SimpleGARCHFit
    extends Object
    implements ResamplerModel
    This class does a quick GARCH(1,1) fitting to the time series, essentially treating the returns as independent. A better way to fit the data is to use a multivariate version of GARCHFit.
    • Constructor Detail

      • SimpleGARCHFit

        public SimpleGARCHFit​(Matrix mts)
    • Method Detail

      • standarizedInnovations

        public Matrix standarizedInnovations()
        Description copied from interface: ResamplerModel
        Gets the standarized innovations (normalized by the conditional standard deviation at the time) of the time series. Note (haksunli): we should not use instead the non-standarized innovations (have non-unit variances) because when they are scaled by the time dependent standard deviations/variances. We cannot simply shuffle them to get a new time series of innovations.
        Specified by:
        standarizedInnovations in interface ResamplerModel
        Returns: