Class Garch11

GARCH volatility model

Volatilities are assumed to be expressed on an annual basis.

Hierarchy

VolatilityCompositor
- Garch11

Index

Enumerations

Mode

Interfaces

byRef

Properties

Accessors

isDisposed

Properties

Private _alpha

_alpha: Real

Private _beta

_beta: Real

Private _gamma

_gamma: Real

Private _logLikelihood

_logLikelihood: Real

Private _mode

_mode: Mode

Private _vl

_vl: Real

Accessors

isDisposed

get isDisposed(): boolean

Inherited from VolatilityCompositor.isDisposed
- Defined in ql/volatilitymodel.ts:36
Returns boolean

Methods

alpha

alpha(): Real

- Defined in ql/models/volatility/garch.ts:56
Returns Real

beta

beta(): Real

- Defined in ql/models/volatility/garch.ts:59
Returns Real

calculate1

calculate1(quoteSeries: TimeSeries<Volatility>): TimeSeries<Volatility>

Overrides VolatilityCompositor.calculate1
- Defined in ql/models/volatility/garch.ts:75
Parameters
- quoteSeries: TimeSeries<Volatility>
Returns TimeSeries<Volatility>

calibrate1

calibrate1(quoteSeries: TimeSeries<Volatility>): void

Overrides VolatilityCompositor.calibrate1
- Defined in ql/models/volatility/garch.ts:80
Parameters
- quoteSeries: TimeSeries<Volatility>
Returns void

calibrate2

calibrate2(quoteSeries: TimeSeries<Volatility>, method: OptimizationMethod, endCriteria: EndCriteria): void

- Defined in ql/models/volatility/garch.ts:108
Parameters
- quoteSeries: TimeSeries<Volatility>
- method: OptimizationMethod
- endCriteria: EndCriteria
Returns void

calibrate3

calibrate3(quoteSeries: TimeSeries<Volatility>, method: OptimizationMethod, endCriteria: EndCriteria, initialGuess: Real[]): void

- Defined in ql/models/volatility/garch.ts:115
Parameters
- quoteSeries: TimeSeries<Volatility>
- method: OptimizationMethod
- endCriteria: EndCriteria
- initialGuess: Real[]
Returns void

calibrate4

calibrate4(forward: Real[], begin: Size, end: Size): void

- Defined in ql/models/volatility/garch.ts:123
Parameters
- forward: Real[]
- begin: Size
- end: Size
Returns void

calibrate5

calibrate5(forward: Real[], begin: Size, end: Size, method: OptimizationMethod, endCriteria: EndCriteria): void

- Defined in ql/models/volatility/garch.ts:136
Parameters
- forward: Real[]
- begin: Size
- end: Size
- method: OptimizationMethod
- endCriteria: EndCriteria
Returns void

calibrate6

calibrate6(forward: Real[], begin: Size, end: Size, method: OptimizationMethod, endCriteria: EndCriteria, initialGuess: Real[]): void

- Defined in ql/models/volatility/garch.ts:151
Parameters
- forward: Real[]
- begin: Size
- end: Size
- method: OptimizationMethod
- endCriteria: EndCriteria
- initialGuess: Real[]
Returns void

Private costFunction2

costFunction2(input: Real[], begin: Size, end: Size): number

- Defined in ql/models/volatility/garch.ts:405
Parameters
- input: Real[]
- begin: Size
- end: Size
Returns number

dispose

dispose(): void

Inherited from VolatilityCompositor.dispose
- Defined in ql/volatilitymodel.ts:40
Returns void

forecast

forecast(r: Real, sigma2: Real): Real

- Defined in ql/models/volatility/garch.ts:165
Parameters
- r: Real
- sigma2: Real
Returns Real

init1

init1(a: Real, b: Real, vl: Real): Garch11

- Defined in ql/models/volatility/garch.ts:31
Parameters
- a: Real
- b: Real
- vl: Real
Returns Garch11

init2

init2(qs: TimeSeries<Volatility>, mode?: Mode): Garch11

- Defined in ql/models/volatility/garch.ts:42
Parameters
- qs: TimeSeries<Volatility>
- Default value mode: Mode = Garch11.Mode.BestOfTwo
Returns Garch11

logLikelihood

logLikelihood(): Real

- Defined in ql/models/volatility/garch.ts:68
Returns Real

ltVol

ltVol(): Real

- Defined in ql/models/volatility/garch.ts:65
Returns Real

mode

mode(): Mode

- Defined in ql/models/volatility/garch.ts:71
Returns Mode

omega

omega(): Real

- Defined in ql/models/volatility/garch.ts:62
Returns Real

Static calculate2

calculate2(quoteSeries: TimeSeries<Volatility>, alpha: Real, beta: Real, omega: Real): TimeSeries<Volatility>

- Defined in ql/models/volatility/garch.ts:84
Parameters
- quoteSeries: TimeSeries<Volatility>
- alpha: Real
- beta: Real
- omega: Real
Returns TimeSeries<Volatility>

Static calibrate1_r2

calibrate1_r2(mode: Mode, r2: Volatility[], mean_r2: Real, byref: byRef): Problem

- Defined in ql/models/volatility/garch.ts:182
Parameters
- mode: Mode
- r2: Volatility[]
- mean_r2: Real
- byref: byRef
Returns Problem

Static calibrate2_r2

calibrate2_r2(mode: Mode, r2: Volatility[], mean_r2: Real, method: OptimizationMethod, endCriteria: EndCriteria, byref: byRef): Problem

- Defined in ql/models/volatility/garch.ts:198
Parameters
- mode: Mode
- r2: Volatility[]
- mean_r2: Real
- method: OptimizationMethod
- endCriteria: EndCriteria
- byref: byRef
Returns Problem

Static calibrate3_r2

calibrate3_r2(r2: Volatility[], mean_r2: Real, method: OptimizationMethod, endCriteria: EndCriteria, initialGuess: Real[], byref: byRef): Problem

- Defined in ql/models/volatility/garch.ts:317
Parameters
- r2: Volatility[]
- mean_r2: Real
- method: OptimizationMethod
- endCriteria: EndCriteria
- initialGuess: Real[]
- byref: byRef
Returns Problem

Static calibrate4_r2

calibrate4_r2(r2: Volatility[], method: OptimizationMethod, endCriteria: EndCriteria, initialGuess: Real[], byref: byRef): Problem

- Defined in ql/models/volatility/garch.ts:333
Parameters
- r2: Volatility[]
- method: OptimizationMethod
- endCriteria: EndCriteria
- initialGuess: Real[]
- byref: byRef
Returns Problem

Static calibrate5_r2

calibrate5_r2(r2: Volatility[], mean_r2: Real, method: OptimizationMethod, constraints: Constraint, endCriteria: EndCriteria, initialGuess: Real[], byref: byRef): Problem

- Defined in ql/models/volatility/garch.ts:349
Parameters
- r2: Volatility[]
- mean_r2: Real
- method: OptimizationMethod
- constraints: Constraint
- endCriteria: EndCriteria
- initialGuess: Real[]
- byref: byRef
Returns Problem

Static calibrate6_r2

calibrate6_r2(r2: Volatility[], method: OptimizationMethod, constraints: Constraint, endCriteria: EndCriteria, initialGuess: Real[], byref: byRef): Problem

- Defined in ql/models/volatility/garch.ts:367
Parameters
- r2: Volatility[]
- method: OptimizationMethod
- constraints: Constraint
- endCriteria: EndCriteria
- initialGuess: Real[]
- byref: byRef
Returns Problem

Static costFunction1

costFunction1(input: Real[], begin: Size, end: Size, alpha: Real, beta: Real, omega: Real): Real

- Defined in ql/models/volatility/garch.ts:390
Parameters
- input: Real[]
- begin: Size
- end: Size
- alpha: Real
- beta: Real
- omega: Real
Returns Real

Static to_r2

to_r2(input: Real[], begin: Size, end: Size, r2: Volatility[]): Real

- Defined in ql/models/volatility/garch.ts:169
Parameters
- input: Real[]
- begin: Size
- end: Size
- r2: Volatility[]
Returns Real