Package org.ojalgo.random.scedasticity
Class GARCH
- java.lang.Object
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- org.ojalgo.random.scedasticity.AbstractScedasticity
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- org.ojalgo.random.scedasticity.GARCH
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- All Implemented Interfaces:
ScedasticityModel
public final class GARCH extends AbstractScedasticity
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Field Summary
Fields Modifier and Type Field Description private ARCH
myARCH
private double[]
myVariances
private double[]
myWeights
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Fields inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity
DEFAULT_VARIANCE, ELEVEN_TWELFTHS
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Constructor Summary
Constructors Constructor Description GARCH(int p, int q)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description GARCH
base(double base)
GARCH
errorWeights(double... lagged)
static GARCH
estimate(Access1D<?> series, int p, int q)
Parameter estimation using heuristics (not max likelihood).double
getMean()
double
getVariance()
void
initialise(double mean, double variance)
static GARCH
newInstance(int p, int q)
static GARCH
newInstance(int p, int q, double mean, double variance)
Will create an instance configured with default parameters.void
update(double value)
GARCH
varianceWeights(double... lagged)
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Methods inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity
average, decreasing, parameters
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface org.ojalgo.random.scedasticity.ScedasticityModel
getStandardDeviation, variances
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Field Detail
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myARCH
private final ARCH myARCH
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myVariances
private final double[] myVariances
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myWeights
private final double[] myWeights
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Method Detail
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estimate
public static GARCH estimate(Access1D<?> series, int p, int q)
Parameter estimation using heuristics (not max likelihood).- Parameters:
series
- Series to adapt top
- Number of lagged variance valuesq
- Number of lagged squared error terms- Returns:
- Ready to use GARCH model
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newInstance
public static GARCH newInstance(int p, int q)
- See Also:
newInstance(int, int, double, double)
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newInstance
public static GARCH newInstance(int p, int q, double mean, double variance)
Will create an instance configured with default parameters. What these are may change in the future. You're better of estimating suitable paramaters for your use case and then setbase(double)
,errorWeights(double...)
andvarianceWeights(double...)
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base
public GARCH base(double base)
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errorWeights
public GARCH errorWeights(double... lagged)
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getMean
public double getMean()
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getVariance
public double getVariance()
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initialise
public void initialise(double mean, double variance)
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update
public void update(double value)
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varianceWeights
public GARCH varianceWeights(double... lagged)
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