Package com.imsl.test.example.stat

Class EGARCHEx2

java.lang.Object

com.imsl.test.example.stat.EGARCHEx2

public class EGARCHEx2
extends Object

Fits an EGARCH(1, 1) with a user defined distribution on \(z_t\).

This example fits the exponential GARCH (EGARCH) to a segment of S&P 500 returns for a period in 1988. Forecasts 4 steps ahead from the end of the series are generated. A t-distribution is defined for \(z_t\), along with estimation of \(E[|z_t|]\) using a quadrature method.

See Also:

• Code
• Output

Constructor Summary

Constructors

Constructor	Description
EGARCHEx2()

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

EGARCHEx2

public EGARCHEx2()

Method Details

main

public static void main(String[] args)