Class DisplacedLognormalGARCH

java.lang.Object
net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
All Implemented Interfaces:
HistoricalSimulationModel

public class DisplacedLognormalGARCH extends Object implements HistoricalSimulationModel
Displaced log-normal process with GARCH(1,1) volatility. This class estimate the process \[ \mathrm{d} \log(X + a) = \frac{\sigma}{b + a} \mathrm{d}W(t) \] where \( a > -min(X(t_{i}) \) and thus \( X+a > 0 \) and \( b = 1 - -min(X(t_{i}) \) \) and \( \sigma \) is given by a GARCH(1,1) process. The choice of b ensures that b+a ≥ 1. For a=0 we have a log-normal process with volatility σ/(b + a). For a=infinity we have a normal process with volatility σ.
Version:
1.0
Author:
Christian Fries
  • Constructor Details

    • DisplacedLognormalGARCH

      public DisplacedLognormalGARCH(double[] values)
    • DisplacedLognormalGARCH

      public DisplacedLognormalGARCH(double[] values, double lowerBoundDisplacement)
    • DisplacedLognormalGARCH

      public DisplacedLognormalGARCH(double[] values, int windowIndexStart, int windowIndexEnd)
    • DisplacedLognormalGARCH

      public DisplacedLognormalGARCH(double[] values, double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
  • Method Details

    • 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.
    • getCloneWithWindow

      public HistoricalSimulationModel getCloneWithWindow(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
    • getLogLikelihoodForParameters

      public double getLogLikelihoodForParameters(double omega, double alpha, double beta, double displacement)
    • getLastResidualForParameters

      public double getLastResidualForParameters(double omega, double alpha, double beta, double displacement)
    • getSzenarios

      public double[] getSzenarios(double omega, double alpha, double beta, double displacement)
    • getQuantilPredictionsForParameters

      public double[] getQuantilPredictionsForParameters(double omega, double alpha, double beta, double displacement, 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.