Type Alias FitAt

A fit as a simulation needs it: its parameters and where its recursion stood at the train end.

type FitAt = {
    lastResidual: number;
    lastVariance: number;
    params: GarchParams;
}

Index

Properties

lastResidual lastVariance params

Properties

`Readonly`lastResidual

lastResidual: number

e_end.

`Readonly`lastVariance

lastVariance: number

s_end, the conditional variance of the last return in the window.

`Readonly`params

params: GarchParams