Uses of Record Class
com.quantfinlib.volatility.Garch11.Params

Packages that use Garch11.Params

Package	Description
com.quantfinlib.volatility	Volatility models: EWMA, GARCH-family, HAR-RV, a model-free volatility index and a systematic/idiosyncratic decomposition.

Uses of Garch11.Params in com.quantfinlib.volatility

Methods in com.quantfinlib.volatility that return Garch11.Params

Modifier and Type	Method	Description
static Garch11.Params	Garch11.fit(double[] returns)	Gaussian maximum-likelihood fit; see Garch11.estimate(double[], Innovation).
Garch11.Params	Garch11.Fit.params()	params (ω, α, β and the maximised log-likelihood).

Methods in com.quantfinlib.volatility with parameters of type Garch11.Params

Modifier and Type	Method	Description
static double[]	Garch11.conditionalVariances(double[] returns, Garch11.Params params)	Conditional variance series under the fitted parameters, seeded at the sample variance of the demeaned returns (the same backcast the fit uses).
static double	Garch11.forecastVariance(double[] returns, Garch11.Params params, int horizon)	k-step-ahead variance forecast: h_{T+k} = σ̄² + (α+β)^{k-1} (h_{T+1} - σ̄²) — mean-reverts to the unconditional variance at the persistence rate.

Constructors in com.quantfinlib.volatility with parameters of type Garch11.Params

Modifier	Constructor	Description
	Fit(Garch11.Params params, Innovation innovation, double nu, double[] standardErrors, double[] robustStandardErrors)	Creates the value; array and collection arguments are copied.