/src/main/java/net/finmath/timeseries/models/parametric/GARCH.java
h + = omega + alpha * eval * eval + beta * h;
h = omega + alpha * eval * eval + beta * h;
final double volScaling = 1.0; double h = omega / (1.0 - alpha - beta); double vol = Math.sqrt(h) * volScaling; for (int i = windowIndexStart+1; i <= windowIndexEnd; i++) { szenarios[i-windowIndexStart-1] = Math.log((values[i])/(values[i-1])) / vol; final double eval = volScaling * (Math.log((values[i])/(values[i-1]))); <extra_id_0> vol = Math.sqrt(h) * volScaling; } java.util.Arrays.sort(szenarios); return szenarios; } public double[] getQuantilPredictionsForParameters(final double omega, final double alpha, final double beta, final double[] quantiles) {