RecursiveVarianceResult

@Serializable

@SerialName(value = "RecursiveVarianceResult")

data class RecursiveVarianceResult(val variance: Double, val omega: Double, val alpha: Double, val beta: Double) : Result(source)

Snapshot from a RecursiveVarianceStat: the current variance and the recurrence coefficients.

Constructors

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

Shock coefficient applied to value^2 per update.

Persistence coefficient applied to the previous variance.

Long-run baseline term omega.

Current recursive variance value.