Fit

The outcome of a fit — the point estimate, its asymptotic standard errors (order omega, alpha, beta), the maximised log-likelihood, the optimiser status, and the in-sample conditional-variance path.

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Record components

params: Garch11
logLik: double
iterations: int
converged: boolean
standardErrors: double[]
conditionalVariance: double[]

Methods

double[] standardErrors()

double[] conditionalVariance()

double persistence()

Persistence alpha + beta — how slowly a variance shock decays.