Struct Garch11 

pub struct Garch11 { /* private fields */ }

GARCH(1,1) conditional volatility — the square root of the generalized-autoregressive-conditional-heteroskedasticity variance recursion.

r_t  = ln(price_t / price_{t−1})
σ²_t = ω + α · r²_{t−1} + β · σ²_{t−1}
out  = √σ²_t

GARCH(1,1) (Bollerslev 1986) generalizes the EwmaVolatility recursion by adding a constant ω, which pins the process to a finite long-run (unconditional) variance ω / (1 − α − β). The α term gives weight to the latest squared return (the “ARCH” shock) and β to the previous variance (the “GARCH” persistence). When ω = 0 and α + β = 1 the model degenerates to EWMA; a proper GARCH keeps ω > 0 and α + β < 1 so volatility mean-reverts rather than drifting.

The recursion is seeded with the unconditional variance (σ²₁ = ω / (1 − α − β)) and emits from the first log return onward. Unlike EWMA — which decays to zero on a flat series — a flat series here mean-reverts toward ω / (1 − β) (the α-term vanishes but the ω floor and the β carry remain), so the output is always strictly positive. Each update is O(1).

Non-finite and non-positive prices are ignored (the log return would be undefined): the tick is dropped, state is left untouched, and the last value is returned.

Example

use wickra_core::{Garch11, Indicator};

// Typical equity daily estimate.
let mut indicator = Garch11::new(0.000_002, 0.10, 0.88).unwrap();
let mut last = None;
for i in 0..80 {
    last = indicator.update(100.0 + (f64::from(i) * 0.3).sin() * 5.0);
}
assert!(last.is_some());

Implementations

impl Garch11

pub fn new(omega: f64, alpha: f64, beta: f64) -> Result<Self>

Construct a new GARCH(1,1) indicator from its three parameters.

omega (ω) is the constant variance floor, alpha (α) the weight on the latest squared return, and beta (β) the persistence of the previous variance.

Errors

Returns Error::InvalidParameter unless every parameter is finite, omega > 0, alpha >= 0, beta >= 0, and alpha + beta < 1 (the covariance-stationarity condition that gives a finite long-run variance).

pub const fn params(&self) -> (f64, f64, f64)

Configured (omega, alpha, beta).

pub const fn unconditional_variance(&self) -> f64

Long-run (unconditional) variance ω / (1 − α − β).

pub const fn value(&self) -> Option<f64>

Current value if available.

Trait Implementations

impl Clone for Garch11

fn clone(&self) -> Garch11

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Garch11

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

Formats the value using the given formatter.

impl Indicator for Garch11

type Input = f64

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, input: f64) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.