include/time_series.h

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#if !defined (TIME_SERIES_H)
#define TIME_SERIES_H

#include "distributed_data.h"
#include "random_number.h"

//OPT ++ headers
#include "OPT++_config.h"
#include "NLF.h"
//#include "Constraint.h"
#include "BoundConstraint.h"
#include "LinearInequality.h"
#include "OptFDNIPS.h"
using NEWMAT::ColumnVector;
using NEWMAT::Matrix;
using NEWMAT::SymmetricMatrix;


/************************************************************/

void garch_init(int ndim, ColumnVector &X);


void garch(int ndim, const ColumnVector &x, OPTPP::real &fx,
           int &result, void* ptr);
/************************************************************/
class TimeSeries {
 private:
  double time_start;
  double shock_start;
  const int num_samples;
  const int max_lag;



 public:
  RandomNumber shocks;
  //RandomNumber volatility;
   
  //Constructors
  TimeSeries(int num_samples,int max_lag);


  void print(string file_name);
  void set_init_shock(double s){shock_start=s;}
  double init_shock(void){return shock_start;}


  void get_garch_param();
  //void get_garch_forecast();
  // void print_acf(int max_lag, string file_name);
  //  void get_lag(int lag,RandomNumber &rn);

};
#endif

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