net.finmath.timeseries.models.parametric

Class ARMAGARCH

java.lang.Object

net.finmath.timeseries.models.parametric.ARMAGARCH

All Implemented Interfaces:

HistoricalSimulationModel

public class ARMAGARCH
extends Object
implements HistoricalSimulationModel

Log-normal process with ARMAGARCH(1,1) volatility. This class estimate the process \[ \mathrm{d} \log(X) = \sigma(t) \mathrm{d}W(t) \] where \( \sigma \) is given by a ARMAGARCH(1,1) process.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
ARMAGARCH(double[] values)
ARMAGARCH(double[] values, int windowIndexStart, int windowIndexEnd)

Method Summary

Modifier and Type	Method and Description
Map<String,Object>	getBestParameters() Returns the parameters estimated for the given time series.
Map<String,Object>	getBestParameters(Map<String,Object> guess) Returns the parameters estimated for the given time series, using a parameter guess.
HistoricalSimulationModel	getCloneWithWindow(int windowIndexStart, int windowIndexEnd) Create a new model, using only a window of the times series.
double	getLastResidualForParameters(double mu, double theta, double omega, double alpha, double beta)
double	getLogLikelihoodForParameters(double theta, double mu, double omega, double alpha, double beta)
double[]	getQuantilPredictionsForParameters(double theta, double mu, double omega, double alpha, double beta, double[] quantiles)
double[]	getSzenarios(double theta, double mu, double omega, double alpha, double beta)

Methods inherited from class java.lang.Object

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

Constructor Detail

ARMAGARCH

public ARMAGARCH(double[] values)

ARMAGARCH

public ARMAGARCH(double[] values,
                 int windowIndexStart,
                 int windowIndexEnd)

Method Detail

getCloneWithWindow

public HistoricalSimulationModel getCloneWithWindow(int windowIndexStart,
                                                    int windowIndexEnd)

Description copied from interface: HistoricalSimulationModel

Create a new model, using only a window of the times series.

Specified by:

getCloneWithWindow in interface HistoricalSimulationModel

Parameters:

windowIndexStart - Index of the first element to be part of the new time series.

windowIndexEnd - Index of the last element to be part of the new time series.

Returns:

A new historical simulation using a different data window.

getLogLikelihoodForParameters

public double getLogLikelihoodForParameters(double theta,
                                            double mu,
                                            double omega,
                                            double alpha,
                                            double beta)

getLastResidualForParameters

public double getLastResidualForParameters(double mu,
                                           double theta,
                                           double omega,
                                           double alpha,
                                           double beta)

getSzenarios

public double[] getSzenarios(double theta,
                             double mu,
                             double omega,
                             double alpha,
                             double beta)

getQuantilPredictionsForParameters

public double[] getQuantilPredictionsForParameters(double theta,
                                                   double mu,
                                                   double omega,
                                                   double alpha,
                                                   double beta,
                                                   double[] quantiles)

getBestParameters

public Map<String,Object> getBestParameters()

Description copied from interface: HistoricalSimulationModel

Returns the parameters estimated for the given time series.

Specified by:

getBestParameters in interface HistoricalSimulationModel

Returns:

The parameters estimated for the given time series.

getBestParameters

public Map<String,Object> getBestParameters(Map<String,Object> guess)

Description copied from interface: HistoricalSimulationModel

Returns the parameters estimated for the given time series, using a parameter guess.

Specified by:

getBestParameters in interface HistoricalSimulationModel

Parameters:

guess - A parameter guess.

Returns:

The parameters estimated for the given time series.