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

Packages that use HarRv.Params

Package

Description

com.quantfinlib.volatility

Volatility models: EwmaVolatility (RiskMetrics exponentially-weighted variance, λ = 0.94), Garch11 (Gaussian MLE with variance targeting; conditional variances and mean-reverting k-step forecasts) and GjrGarch11 (the leverage-effect asymmetry equity indices demand — a down move raises tomorrow's variance by α + γ, an up move by only α; fitting γ ≈ 0 is itself the finding that the series is symmetric), Egarch11 (Nelson's log-variance dynamics: leverage as a SIGN — γ < 0 — with no positivity constraints by construction; one-step forecasts exact, multi-step deliberately refused since the log recursion forecasts the median, not the mean), and HarRv (Corsi's heterogeneous autoregressive realized-vol model — daily/weekly/monthly horizons by plain OLS, the forecasting benchmark GARCH papers have to beat; pair it with microstructure.JumpRobustVolatility's bipower variance to keep jumps out of the forecast).

Uses of HarRv.Params in com.quantfinlib.volatility

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

Modifier and Type	Method	Description
static HarRv.Params	HarRv.fit(double[] realizedVariance)	Fits by OLS.

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

Modifier and Type	Method	Description
static double	HarRv.forecast(double[] realizedVariance, HarRv.Params p)	One-step-ahead RV forecast from the series' most recent day/week/ month, floored at zero.