SuanShu, a Java numerical and statistical library

Package com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.garch

Class Summary
GARCHFit This implementation fits, for a data set, a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model by maximizing the likelihood function using the gradient information.
GARCHModel The GARCH(p, q) model takes this form.
GARCHSim This class simulates the GARCH models of this form.

Enum Summary
GARCHFit.GRADIENT the available methods to compute the gradient to guild the optimization search

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