Question about ARMAX model

pierreParticipant 2015-11-03 at 9:32 am

Hi I used the R package ‘rugarch’ to implement an ARMAX-GARCH model and now I want to try to implement it with suanshu JAVA library. First, I want to implement an ARMAX model and fit parameters of this model. This will give me the ARMAX prediciton Secondly I want to implement an GARCH model and fit parameters on the residual timeseries of first step. This will give me Variance of the predicition. Even if the estimation is less efficient than with ‘rugarch’ package, it should be a reasonable way to do what I want (according to this topic : http://stats.stackexchange.com/questions/143035/the-use-of-garch/143040#143040 ) My question is: Is it possible to fit ARMAX model by CSS. Reading the Javadoc it doesen’t seem to be.
RyuParticipant 2015-11-04 at 3:27 pm
Hi,

SuanShu does not ARIMAX-GARCH fitting out of box. We currently have implemented: 1. ARMA fit 2. GARCH fit 3. ARMA-GARCH fit.

There are a number of options you have: 1. You can contract us to implement it for you as a consulting project.
You can try to implement it yourself using our classes as building blocks.
You can try to implement it yourself using our classes as building blocks and then contribute your code to SuanShu. Then you will get a license for free.