Module net.finmath.lib

Package net.finmath.timeseries.models.parametric

Class ARMAGARCH

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

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)

Methods inherited from class java.lang.Object

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

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 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.

getCloneCalibrated

public TimeSeriesModelParametric getCloneCalibrated(TimeSeries timeSeries)

Specified by:

getCloneCalibrated in interface TimeSeriesModelParametric

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.

getParameters

public double[] getParameters()

Specified by:

getParameters in interface TimeSeriesModelParametric

getParameterNames

public String[] getParameterNames()

Specified by:

getParameterNames in interface TimeSeriesModelParametric