Package com.imsl.test.example.stat

Class GARCHEx1

java.lang.Object

com.imsl.test.example.stat.GARCHEx1

public class GARCHEx1
extends Object

Estimates a \(\text{GARCH}(p,q)\) model from simulated data.

The data for this example are generated to follow a \(\text{GARCH}(p,q)\) process by using a random number generation function sgarch. The data set is analyzed and estimates of \(\sigma\), the \(\text{AR, MA}\)parameters are returned. The values of the Log-likelihood function and the Akaike Information Criterion are returned.

See Also:

• Code
• Output

Constructor Summary

Constructors

Constructor	Description
GARCHEx1()

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

GARCHEx1

public GARCHEx1()

Method Details

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception