- java.lang.Object
-
- net.finmath.timeseries.models.parametric.ARMAGARCH
-
- All Implemented Interfaces:
HistoricalSimulationModel
,TimeSeriesModelParametric
public class ARMAGARCH extends Object implements TimeSeriesModelParametric, HistoricalSimulationModel
Lognormal process with ARMAGARCH(1,1) volatility. This class estimates the process \[ \mathrm{d} \log(X) = \sigma(t) \mathrm{d}W(t) \] where \( \sigma \) is given by a ARMAGARCH(1,1) process.- Version:
- 1.0
- Author:
- Christian Fries
-
-
Constructor Summary
Constructors Constructor Description ARMAGARCH(TimeSeries timeSeries)
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method 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.TimeSeriesModelParametric
getCloneCalibrated(TimeSeries timeSeries)
HistoricalSimulationModel
getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
Create a new model, using only a window of the times series.double
getLastResidualForParameters(double[] parameters)
double
getLogLikelihoodForParameters(double[] parameters)
String[]
getParameterNames()
double[]
getParameters()
double[]
getQuantilPredictionsForParameters(double[] parameters, double[] quantiles)
double[]
getSzenarios(double[] parameters)
-
-
-
Constructor Detail
-
ARMAGARCH
public ARMAGARCH(TimeSeries timeSeries)
-
-
Method Detail
-
getLogLikelihoodForParameters
public double getLogLikelihoodForParameters(double[] parameters)
- Parameters:
parameters
- Given model parameters.- Returns:
- The log likelihood for the given model parameters.
-
getLastResidualForParameters
public double getLastResidualForParameters(double[] parameters)
-
getSzenarios
public double[] getSzenarios(double[] parameters)
-
getQuantilPredictionsForParameters
public double[] getQuantilPredictionsForParameters(double[] parameters, 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 interfaceHistoricalSimulationModel
- 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 interfaceHistoricalSimulationModel
- Parameters:
guess
- A parameter guess.- Returns:
- The parameters estimated for the given time series.
-
getCloneCalibrated
public TimeSeriesModelParametric getCloneCalibrated(TimeSeries timeSeries)
- Specified by:
getCloneCalibrated
in interfaceTimeSeriesModelParametric
-
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 interfaceHistoricalSimulationModel
- 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.
-
getParameters
public double[] getParameters()
- Specified by:
getParameters
in interfaceTimeSeriesModelParametric
-
getParameterNames
public String[] getParameterNames()
- Specified by:
getParameterNames
in interfaceTimeSeriesModelParametric
-
-