Module ojalgo

Package org.ojalgo.random.scedasticity

Class GARCH

java.lang.Object

org.ojalgo.random.scedasticity.GARCH

All Implemented Interfaces:

ScedasticityModel

public final class GARCH
extends Object

Constructor Summary

Constructors

Constructor	Description
GARCH(int p, int q)

Method Summary

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)

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.ojalgo.random.scedasticity.ScedasticityModel

getStandardDeviation, variances

Constructor Details

GARCH

public GARCH(int p,
 int q)

Method Details

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)

See Also:

• newInstance(int, int, double, double)

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)