Package com.imsl.test.example.stat

Class EGARCHEx1

java.lang.Object

com.imsl.test.example.stat.EGARCHEx1

public class EGARCHEx1
extends Object

Fits an EGARCH(1, 1) to a segment of S&P 500 returns.

This example fits the exponential GARCH (EGARCH) to a segment of S&P 500 returns for a period in 1988. Forecasts 4 steps ahead are generated for 4 different snapshots.

See Also:

• Code
• Output

Constructor Summary

Constructors

Constructor	Description
EGARCHEx1()

Method Summary

Modifier and Type	Method	Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

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

Constructor Details

EGARCHEx1

public EGARCHEx1()

Method Details

main

public static void main(String[] args)