Model heston
Heston model class.
Heston
Bases: SDE
Heston model.
__init__(param=None)
Initialize the class.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
True parameters used for simulation of the data |
None
|
coef_big_a(*, param, aggh)
staticmethod
Coefficient A_h in exact discretization of volatility.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
coef_big_c(*, param, aggh)
Coefficient C_h in exact discretization of volatility.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
coef_small_a(*, param, aggh)
Coefficient a_h in exact discretization of volatility.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
coef_small_c(*, param, aggh)
Coefficient c_h in exact discretization of volatility.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Parameter vector |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
get_start()
Get starting values for simulation.
Returns:
| Type | Description |
|---|---|
array_like
|
Starting values for price and variance |
mat_a(*, param, subset=None)
Matrix A in integrated moments.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
subset
|
slice
|
Which moments to use |
None
|
Returns:
| Type | Description |
|---|---|
(nmoms, 3*nmoms) array
|
Matrix A |
mat_a0(*, param, aggh)
staticmethod
Matrix A_0 in integrated moments.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
(4, 4) array
|
Matrix A_0 |
mat_a1(*, param, aggh)
Matrix A_1 in integrated moments.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
(4, 4) array
|
Matrix A_1 |
mat_a2(*, param, aggh)
Matrix A_2 in integrated moments.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
(4, 4) array
|
Matrix A_2 |
mean_cross(*, param, aggh)
Unconditional mean of realized returns times volatility.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
mean_ret(*, param, aggh)
staticmethod
Unconditional mean of realized returns.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
mean_vol(*, param, aggh)
staticmethod
Unconditional mean of realized volatiliy.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
mean_vol2(*, param, aggh)
Unconditional mean of squared realized volatiliy.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
required |
aggh
|
float
|
Interval length |
required |
Returns:
| Type | Description |
|---|---|
float
|
|
realized_const(*, param=None, aggh=1, subset=None)
Intercept in the realized moment conditions.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
Model parameters |
None
|
aggh
|
float
|
Interval length |
1
|
subset
|
slice
|
Which moments to use |
None
|
Returns:
| Type | Description |
|---|---|
(4, ) array
|
Intercept |
realized_depvar(*, data, subset=None)
staticmethod
Array of the left-hand side variables in realized moment conditions.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
(2, nobs) array
|
Returns and realized variance |
required |
subset
|
slice
|
Which moments to use |
None
|
Returns:
| Type | Description |
|---|---|
(nobs, 3*nmoms) array
|
Dependend variables |