Name | Description | Type | Package | Framework |
AR1GARCH11Model | An AR1-GARCH11 model takes this form. | Class | com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.armagarch | SuanShu |
ARMAGARCHFit | This implementation fits, for a data set, an ARMA-GARCH model by Quasi-Maximum Likelihood "QMLE" stands for Quasi-Maximum Likelihood Estimation, which assumes Normal distribution and | Class | com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.armagarch | SuanShu |
ARMAGARCHModel | An ARMA-GARCH model takes this form: X_t = mu + sum_{i=1}^p phi_i X_{t-i} + sum_{i=1}^q heta_j epsilon_{t-j} + epsilon_t, | Class | com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.armagarch | SuanShu |