com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.garch

Class GARCH

java.lang.Object

com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.garch.GARCH

All Implemented Interfaces:

java.io.Serializable

public class GARCH
extends java.lang.Object
implements java.io.Serializable

This class does fitting for the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) getModel.

This implementation does the fitting by maximizing the likelihood function, using the gradient information.

The R equivalent functions are garch in tseries and garchFit in fGarch.

See Also:

"Bollerslev, Tim. Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, Issue 3, Vol. 31. 1986.", Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	GARCH.GRADIENT the gradient information used to guild the optimization search

Constructor Summary

Constructors

Constructor and Description
GARCH(TimeSeries xt, int p, int q) Fit the GARCH(p, q) getModel to the time series.
GARCH(TimeSeries xt, int p, int q, int maxIterations, GARCH.GRADIENT grad) Fit the GARCH(p, q) getModel to the time series.

Method Summary

Modifier and Type	Method and Description
GARCHModel	getModel() Get the fitted GARCH getModel.

Methods inherited from class java.lang.Object

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

Constructor Detail

GARCH

public GARCH(TimeSeries xt,
             int p,
             int q,
             int maxIterations,
             GARCH.GRADIENT grad)

Fit the GARCH(p, q) getModel to the time series.

Parameters:

xt - a time series of the observations

q - the ARCH order

p - the GARCH part order

maxIterations - the maximum number of iterations in the numerical optimization algorithm

GARCH

public GARCH(TimeSeries xt,
             int p,
             int q)

Fit the GARCH(p, q) getModel to the time series.

Parameters:

xt - a time series of the observations

q - the ARCH order

p - the GARCH part order

Method Detail

getModel

public GARCHModel getModel()

Get the fitted GARCH getModel.

Returns:

the fitted GARCH getModel, the estimators.