tech.nmfin.portfoliooptimization.lai2010.fit

Class SimpleGARCHMoments2

java.lang.Object

tech.nmfin.portfoliooptimization.lai2010.fit.SimpleGARCHMoments2

All Implemented Interfaces:

ReturnsMoments.Estimator

public class SimpleGARCHMoments2
extends Object
implements ReturnsMoments.Estimator

Estimates the moments by GARCH model.

Constructor Summary

Constructors

Constructor and Description
SimpleGARCHMoments2(GARCHResamplerFactory2 f)

Method Summary

Modifier and Type	Method and Description
ReturnsMoments	estimate(Matrix stdinno) Estimates the moments from a given returns matrix.

Methods inherited from class java.lang.Object

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

Constructor Detail

SimpleGARCHMoments2

public SimpleGARCHMoments2(GARCHResamplerFactory2 f)

Method Detail

estimate

public ReturnsMoments estimate(Matrix stdinno)

Description copied from interface: ReturnsMoments.Estimator

Estimates the moments from a given returns matrix.

Specified by:

estimate in interface ReturnsMoments.Estimator

Parameters:

stdinno - a returns matrix (T-by-N)

Returns:

the estimated moments