org.jquantlib.model.volatility

Class Garch11

java.lang.Object

org.jquantlib.model.volatility.Garch11

All Implemented Interfaces:

VolatilityCompositor

public class Garch11
extends java.lang.Object
implements VolatilityCompositor

GARCH Volatility Model

Volatilities are assumed to be expressed on an annual basis.

Constructor Summary

Constructors

Constructor and Description
Garch11(double alpha, double beta, double v)
Garch11(TimeSeries<java.lang.Double> qs)

Method Summary

Modifier and Type	Method and Description
TimeSeries<java.lang.Double>	calculate(TimeSeries<java.lang.Double> vs)
void	calibrate(TimeSeries<java.lang.Double> timeSeries)

Methods inherited from class java.lang.Object

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

Constructor Detail

Garch11

public Garch11(double alpha,
               double beta,
               double v)

Garch11

public Garch11(TimeSeries<java.lang.Double> qs)

Method Detail

calculate

public TimeSeries<java.lang.Double> calculate(TimeSeries<java.lang.Double> vs)

Specified by:

calculate in interface VolatilityCompositor

calibrate

public void calibrate(TimeSeries<java.lang.Double> timeSeries)

Specified by:

calibrate in interface VolatilityCompositor