Class GARCH

    • Field Detail

      • myARCH

        private final ARCH myARCH
      • myVariances

        private final double[] myVariances
      • myWeights

        private final double[] myWeights
    • Constructor Detail

      • GARCH

        public GARCH​(int p,
                     int q)
    • Method Detail

      • estimate

        public static GARCH estimate​(Access1D<?> series,
                                     int p,
                                     int q)
        Parameter estimation using heuristics (not max likelihood).
        Parameters:
        series - Series to adapt to
        p - Number of lagged variance values
        q - Number of lagged squared error terms
        Returns:
        Ready to use GARCH model
      • 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 set base(double), errorWeights(double...) and varianceWeights(double...).
      • base

        public GARCH base​(double base)
      • errorWeights

        public GARCH 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)
      • varianceWeights

        public GARCH varianceWeights​(double... lagged)