| #------------------------------------------------------------- |
| # |
| # Licensed to the Apache Software Foundation (ASF) under one |
| # or more contributor license agreements. See the NOTICE file |
| # distributed with this work for additional information |
| # regarding copyright ownership. The ASF licenses this file |
| # to you under the Apache License, Version 2.0 (the |
| # "License"); you may not use this file except in compliance |
| # with the License. You may obtain a copy of the License at |
| # |
| # http://www.apache.org/licenses/LICENSE-2.0 |
| # |
| # Unless required by applicable law or agreed to in writing, |
| # software distributed under the License is distributed on an |
| # "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY |
| # KIND, either express or implied. See the License for the |
| # specific language governing permissions and limitations |
| # under the License. |
| # |
| #------------------------------------------------------------- |
| |
| X = read($X) |
| |
| [fitted_X, fitted_var_hist, a0, arch_coef, var_coef] = garch(X=X, kmax=$kmax, momentum=$momentum, start_stepsize=$start_stepsize, end_stepsize=$end_stepsize, start_vicinity=$start_vicinity, end_vicinity=$end_vicinity, sim_seed=54321, verbose=FALSE) |
| mean_residual_error = matrix(sum(fitted_X - X) / nrow(fitted_X), rows=1, cols=1) |
| |
| write(mean_residual_error, $model) |
