Module ojalgo

Package org.ojalgo.random.scedasticity

Class ARCH

java.lang.Object

org.ojalgo.random.scedasticity.AbstractScedasticity

org.ojalgo.random.scedasticity.ARCH

All Implemented Interfaces:

ScedasticityModel

public final class ARCH
extends AbstractScedasticity

Field Summary

Fields

Modifier and Type	Field	Description
private double	myBase
private double	myMean
private double[]	mySquaredErrors
private double[]	myWeights

Fields inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity

DEFAULT_VARIANCE, ELEVEN_TWELFTHS

Constructor Summary

Constructors

Constructor	Description
ARCH(int q)

Method Summary

Modifier and Type	Method	Description
ARCH	base(double base)
ARCH	errorWeights(double... lagged)
static ARCH	estimate(Access1D<?> series, int q)	Parameter estimation using heuristics (not max likelihood).
double	getMean()
double	getVariance()
void	initialise(double mean, double variance)
static ARCH	newInstance(int q)
static ARCH	newInstance(int q, double mean, double variance)	Will create an instance configured with default parameters.
void	update(double value)

Methods inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity

average, decreasing, parameters

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.ojalgo.random.scedasticity.ScedasticityModel

getStandardDeviation, variances

Field Detail

myBase

private double myBase

myMean

private double myMean

mySquaredErrors

private final double[] mySquaredErrors

myWeights

private final double[] myWeights

Constructor Detail

ARCH

public ARCH(int q)

Method Detail

estimate

public static ARCH estimate(Access1D<?> series,
                            int q)

Parameter estimation using heuristics (not max likelihood).

Parameters:

series - Series to adapt to

q - Number of lagged squared error terms

Returns:

Ready to use ARCH model

newInstance

public static ARCH newInstance(int q)

See Also:

newInstance(int, double, double)

newInstance

public static ARCH newInstance(int q,
                               double mean,
                               double variance)

Will create an instance configured with default parameters. What these are may change in the future. You're better of estimating suitable paramaters for your use case and then set base(double) and errorWeights(double...).

base

public ARCH base(double base)

errorWeights

public ARCH errorWeights(double... lagged)

getMean

public double getMean()

getVariance

public double getVariance()

initialise

public void initialise(double mean,
                       double variance)

update

public void update(double value)