Struct CointegrationOutput 

pub struct CointegrationOutput {
    pub hedge_ratio: f64,
    pub spread: f64,
    pub adf_stat: f64,
}

Output of Cointegration.

Fields

hedge_ratio: f64

Engle–Granger hedge ratio β: the rolling OLS slope of a on b.

spread: f64

The current spread (regression residual) a − (α + β·b).

adf_stat: f64

Augmented Dickey–Fuller t-statistic on the spread. More negative means more strongly mean-reverting (cointegrated); compare against the usual ADF/MacKinnon critical values (e.g. roughly −2.9 at 5%). 0 when the test is undefined (a degenerate, zero-variance spread).

Trait Implementations

impl Clone for CointegrationOutput

fn clone(&self) -> CointegrationOutput

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for CointegrationOutput

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for CointegrationOutput

fn eq(&self, other: &CointegrationOutput) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Copy for CointegrationOutput

impl StructuralPartialEq for CointegrationOutput