public void GarchFromExtData()
{
var garch = new GARCHModel(GARCHModel.GARCHType.EGARCH, 1, 1, _extData);
Assert.IsTrue(garch.CanUseMLE());
garch.FitByMLE(200, 100, 0, null);
Write($"Sample mean: {_extData.SampleMean()} \n");
Write($"Desc: {garch.Description}");
}
public void GarchSimulates()
{
var _garch = new GARCHModel(GARCHModel.GARCHType.Standard, 1, 1);
var simulateData = _garch.SimulateData(_dates, 22);
Assert.NotNull(simulateData);
Assert.IsTrue(simulateData.Count > 0);
Write($"Sample mean: {simulateData.SampleMean()}");
_garch.TheData = simulateData; // Feed back in
_garch.FitByMLE(200, 100, 0, null);
Write(_garch.Description);
}
