Uses of Package
com.quantfinlib.volatility

Packages that use com.quantfinlib.volatility

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

Classes in com.quantfinlib.volatility used by com.quantfinlib.volatility

Class	Description
Egarch11.Fit
Egarch11.Params
EwmaVolatility	Exponentially weighted moving average variance (RiskMetrics Technical Document, J.P.
Garch11.Fit	A fitted model with its uncertainty.
Garch11.Params
GjrGarch11.Fit
GjrGarch11.Params
HarRv.Fit	Fitted coefficients with Newey-West standard errors (order: intercept, daily, weekly, monthly), residual variance and the regression size.
HarRv.Params	Fitted coefficients: rv⁺ = c + βd·d + βw·w + βm·m.
Innovation	Distribution of the standardised innovation z_t = r_t / √h_t in the GARCH-family likelihoods.
VolatilityDecomposition.Decomposition	Systematic and idiosyncratic split of an asset's variance.