get_parametersΒΆ

Defined in fynance.models.econometric_models

get_parameters(params, p=0, q=0, Q=0, P=0, cons=True)[source]

Get parameters for ARMA-GARCH models.

Helper that splits the flat params vector returned by maximum-likelihood estimation into the structured groups expected by the model evaluation routines: AR coefficients phi, MA coefficients theta, GARCH ARCH/GARCH coefficients alpha/beta, and constants c and omega. Pass the same p, q, Q, P, cons configuration that was used at the estimation step (see fynance.estimator).

Parameters:
paramsnp.ndarray[np.float64, ndim=1]

Array of model parameters.

p, q, Q, Pint, optional

Order of model, default is 0.

consbool, optional

True if model contains constant, default is True.

Returns:
phinp.ndarray[np.float64, ndim=1]

AR parameters.

thetanp.ndarray[np.float64, ndim=1]

MA parameters.

alphanp.ndarray[np.float64, ndim=1]

First part GARCH parameters.

betanp.ndarray[np.float64, ndim=1]

Last part GARCH parameters.

cfloat

Constant of ARMA part.

omegafloat

Constants of GARCH part.

See also

ARMAX_GARCH, ARMA_GARCH, ARMA, MA.