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); }