fynance.models.econometric_models.get_parameters¶
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fynance.models.econometric_models.
get_parameters
(params, p=0, q=0, Q=0, P=0, cons=True)¶ Get parameters for ARMA-GARCH models.
Parameters: - params : np.ndarray[np.float64, ndim=1]
Array of model parameters.
- p, q, Q, P : int, optional
Order of model, default is 0.
- cons : bool, optional
True if model contains constant, default is True.
Returns: - phi : np.ndarray[np.float64, ndim=1]
AR parameters.
- theta : np.ndarray[np.float64, ndim=1]
MA parameters.
- alpha : np.ndarray[np.float64, ndim=1]
First part GARCH parameters.
- beta : np.ndarray[np.float64, ndim=1]
Last part GARCH parameters.
- c : float
Constant of ARMA part.
- omega : float
Constants of GARCH part.
See also
ARMAX_GARCH
,ARMA_GARCH
,ARMA
,MA.