kumulant
com.eignex.kumulant/schema/RecursiveVariance

RecursiveVariance

@Serializable
@SerialName(value = "RecursiveVariance")
data class RecursiveVariance(val omega: Double, val alpha: Double, val beta: Double) : SeriesStatSpec<RecursiveVarianceResult> (source)

Spec for RecursiveVarianceStat: sigma^2_t = omega + alpha * value^2 + beta * sigma^2_{t-1}.

Constructors

RecursiveVariance

constructor(omega: Double, alpha: Double, beta: Double)(source)

Properties

alpha

val alpha: Double(source)

Shock coefficient applied to value^2.

beta

val beta: Double(source)

Persistence coefficient applied to the previous variance.

omega

val omega: Double(source)

Long-run baseline term.