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more volatilty

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This commit is contained in:
Miha Kralj
2026-02-02 13:42:47 -08:00
parent dde19f2226
commit a03d7aa0ce
89 changed files with 21551 additions and 438 deletions
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lib/volatility/cv/Cv.cs
+4 -4
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@@ -185,7 +185,7 @@ public sealed class Cv : AbstractBase
{
// Calculate omega based on stored LongRunVar (compute locally, don't store during !isNew)
double omega = s.Omega;
if (omega == 0.0)
if (Math.Abs(omega) <= 0)
{
omega = (1.0 - _alpha - _beta) * s.LongRunVar;
}
@@ -212,7 +212,7 @@ public sealed class Cv : AbstractBase
if (isNew)
{
// Only store omega on first GARCH calculation
if (s.Omega == 0.0)
if (Math.Abs(s.Omega) <= 0)
{
s.Omega = omega;
}
@@ -402,7 +402,7 @@ public sealed class Cv : AbstractBase
else
{
// Calculate omega at the end of warmup
if (i == period && omega == 0.0)
if (i == period && Math.Abs(omega) <= 0)
{
omega = (1.0 - alpha - beta) * longRunVar;
}
@@ -411,7 +411,7 @@ public sealed class Cv : AbstractBase
double variance = Math.FusedMultiplyAdd(alpha, prevSquaredReturn, Math.FusedMultiplyAdd(beta, prevVariance, omega));
// For zero long-run variance (constant prices), allow variance to be exactly 0
if (longRunVar == 0.0 && prevSquaredReturn == 0.0)
if (Math.Abs(longRunVar) <= 0 && Math.Abs(prevSquaredReturn) <= 0)
{
variance = 0.0;
}