Uses of Record Class
com.quantfinlib.volatility.VolatilityDecomposition.Decomposition
Packages that use VolatilityDecomposition.Decomposition
Package
Description
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 VolatilityDecomposition.Decomposition in com.quantfinlib.volatility
Methods in com.quantfinlib.volatility that return VolatilityDecomposition.DecompositionModifier and TypeMethodDescriptionVolatilityDecomposition.decompose(double[] assetReturns, double[] marketReturns) Decomposes an asset's variance against a market/benchmark series.