Uses of Package
com.quantfinlib.volatility
Packages that use com.quantfinlib.volatility
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).-
Classes in com.quantfinlib.volatility used by com.quantfinlib.volatilityClassDescriptionExponentially weighted moving average variance (RiskMetrics-style):
h_t = λ h_{t-1} + (1-λ) r_{t-1}², seeded with the sample variance.Fitted coefficients:rv⁺ = c + βd·d + βw·w + βm·m.