Class ARCH

All Implemented Interfaces:
ScedasticityModel

public final class ARCH extends AbstractScedasticity
  • Field Details

    • myBase

      private double myBase
    • myMean

      private double myMean
    • mySquaredErrors

      private final double[] mySquaredErrors
    • myWeights

      private final double[] myWeights
  • Constructor Details

    • ARCH

      public ARCH(int q)
  • Method Details

    • estimate

      public static ARCH estimate(Access1D<?> series, int q)
      Parameter estimation using heuristics (not max likelihood).
      Parameters:
      series - Series to adapt to
      q - Number of lagged squared error terms
      Returns:
      Ready to use ARCH model
    • newInstance

      public static ARCH newInstance(int q)
      See Also:
    • newInstance

      public static ARCH newInstance(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 set base(double) and errorWeights(double...).
    • base

      public ARCH base(double base)
    • errorWeights

      public ARCH errorWeights(double... lagged)
    • getMean

      public double getMean()
    • getVariance

      public double getVariance()
    • initialise

      public void initialise(double mean, double variance)
    • update

      public void update(double value)