Classes
garch.cpp File Reference
#include "newmatap.h"
#include "newmatio.h"
#include "newmatnl.h"
Include dependency graph for garch.cpp:

Go to the source code of this file.

Classes

class  GARCH11_LL
 
#define WANT_STREAM
 
#define WANT_MATH
 
#define WANT_FSTREAM
 
Real square (Real x)
 
int my_main ()
 
int main ()
 

Detailed Description

example: fit simple garch model. This is a demonstration of a special case of the Garch model Observe two series X and Y of length n and suppose Y(i) = beta * X(i) + epsilon(i) where epsilon(i) is normally distributed with zero mean and variance = h(i) = alpha0 + alpha1 * square(epsilon(i-1)) + beta1 * h(i-1). Then this program is supposed to estimate beta, alpha0, alpha1, beta1 The Garch model is supposed to model something like an instability in the stock or options market following an unexpected result. alpha1 determines the size of the instability and beta1 determines how quickly is dies away. We should, at least, have an X of several columns and beta as a vector

Definition in file garch.cpp.

Macro Definition Documentation

#define WANT_FSTREAM

Definition at line 21 of file garch.cpp.

#define WANT_MATH

Definition at line 20 of file garch.cpp.

#define WANT_STREAM

Definition at line 19 of file garch.cpp.

Function Documentation

int main ( void  )

Definition at line 180 of file garch.cpp.

int my_main ( )

Definition at line 145 of file garch.cpp.

Real square ( Real  x)
inline

Definition at line 32 of file garch.cpp.



kni
Author(s): Martin Günther
autogenerated on Fri Jan 3 2020 04:01:17