Package com.imsl.test.example.stat

Class EGARCHEx3

java.lang.Object

com.imsl.test.example.stat.EGARCHEx3

public class EGARCHEx3
extends Object

Fits an EGARCH(1, 1) with an ARMA(1,1) on the mean.

This example fits the exponential GARCH (EGARCH) with an ARMA(1,1) for the mean process. The data is a segment of S&P 500 returns for a period in 1988. Forecasts 4 steps ahead from the end of the series are generated.

See Also:

• Code
• Output

Constructor Summary

Constructors

Constructor	Description
EGARCHEx3()

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

EGARCHEx3

public EGARCHEx3()

Method Details

main

public static void main(String[] args)