model0 Class Reference

List of all members.

Public Member Functions
obj	model0 (type spec_)
void	delete (type obj)
p0_	p0 (type obj, type expected_, type actual_, type volatility0, type volf)
void	update (type obj, type returner)
Public Attributes
type	samples = 10
type	epsilon = 1e-10
type	UnityThreshold = 0.999
type	spec
type	coeff
	container for the GARCH model
type	returns
	GARCH co-efficients.
type	volatility0
type	logReturn
type	meanForecast0
type	InterpFactor0
type	maxTrend = 1e-5
type	volRegime = -1
	Maximum trend.
type	idxes = []
	Indexes into conversion vectors.
Protected Attributes
type	Description = 'GARCH model container'
type	Date = date
type	Type = 'model0'
	When started.
type	name = 'unassigned'
type	expiry_
type	issane
	30 sec ticks
type	logger_
type	logReturn_
type	volatility0_

Detailed Description

MODEL0 obj = model0(spec) creates a container for an MA-GARCH model. This follows the strategy pattern.

Example: spec = garchset('M',1,'P',1,'Q',1); spec = garchset(spec, 'Display','off', 'Distribution', 'T');

model0_ = model0(spec);

As new data arrives and a calibrate is requested. model0_.update( collector0_ ); disp(model0_.coeff);

Definition at line 24 of file model0.m.

Constructor & Destructor Documentation

obj model0::model0 ( type spec_ ) [inline]

GARCH model spec_ is the result of a call to garchset().

Definition at line 66 of file model0.m.

Member Function Documentation

void model0::delete ( type obj ) [inline]

delete(obj.spec);

Definition at line 74 of file model0.m.

p0_ model0::p0	(	type	obj,
		type	expected_,
		type	actual_,
		type	volatility0,
		type	volf
	)			`[inline]`

Estimated probability using standard cdf from probability theory and the degrees of freedom of the t-test.

Definition at line 78 of file model0.m.

void model0::update	(	type	obj,
		type	returner
	)			`[inline]`

Sum of ARCH + GARCH + 0.5 * Leverage coefficients must be < 1 for GJR(P,Q) models. The current model of choice is MA-GARCH (not GJR) because it scored best among all competing models.

Definition at line 95 of file model0.m.