Class Garch11.Fit

java.lang.Object
com.quantfinlib.volatility.Garch11.Fit
Enclosing class:
Garch11
public static final class Garch11.Fit extends Object
A fitted model with its uncertainty.

  • Constructor Details

    • Fit

      public Fit(Garch11.Params params, Innovation innovation, double nu, double[] standardErrors, double[] robustStandardErrors)
      Creates the value; array and collection arguments are copied.
      Parameters:
      params - ω, α, β and the maximised log-likelihood
      innovation - the innovation distribution used
      nu - Student-t degrees of freedom, NaN for Gaussian
      standardErrors - SEs of (ω, α, β[, ν]) from the observed information
      robustStandardErrors - Bollerslev-Wooldridge QMLE SEs, same order

  • Method Details

    • params

      public Garch11.Params params()
      params (ω, α, β and the maximised log-likelihood).

    • innovation

      public Innovation innovation()
      innovation (the innovation distribution used).

    • nu

      public double nu()
      nu (Student-t degrees of freedom, NaN for Gaussian).

    • standardErrors

      public double standardErrors(int i)
      Element i of standardErrors (SEs of (ω, α, β[, ν]) from the observed information).

    • standardErrorsLength

      public int standardErrorsLength()
      Length of standardErrors.

    • standardErrorsCopy

      public double[] standardErrorsCopy()
      A fresh copy of standardErrors.

    • robustStandardErrors

      public double robustStandardErrors(int i)
      Element i of robustStandardErrors (Bollerslev-Wooldridge QMLE SEs, same order).

    • robustStandardErrorsLength

      public int robustStandardErrorsLength()
      Length of robustStandardErrors.

    • robustStandardErrorsCopy

      public double[] robustStandardErrorsCopy()
      A fresh copy of robustStandardErrors.

    • equals

      public boolean equals(Object other)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object