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 Details

    • ARMAGARCH

      public ARMAGARCH(TimeSeries timeSeries)

  • Method Details

    • 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