public class GARCHEx1 extends Object
Estimates a GARCH(p,q) model from simulated data.
The data for this example are generated to follow a GARCH(p,q)
process by using a random number generation function sgarch
. The
data set is analyzed and estimates of σ, the AR,
MAparameters are returned. The values of the Log-likelihood function and
the Akaike Information Criterion are returned.
Constructor and Description |
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GARCHEx1() |
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