garch 1.2.3 → 1.2.4
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/package.json +6 -1
- package/types.d.ts +8 -0
package/package.json
CHANGED
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@@ -1,7 +1,12 @@
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1
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{
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2
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"name": "garch",
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3
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-
"version": "1.2.
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3
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+
"version": "1.2.4",
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4
4
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"description": "GARCH and EGARCH volatility models for TypeScript",
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5
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"funding": {
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6
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"type": "individual",
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7
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"url": "http://paypal.me/tripolskypetr"
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8
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},
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9
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"homepage": "https://backtest-kit.github.io/documents/article_07_ai_news_trading_signals.html",
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"type": "module",
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"main": "./build/index.cjs",
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"module": "./build/index.mjs",
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package/types.d.ts
CHANGED
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@@ -498,13 +498,21 @@ declare function probit(confidence: number): number;
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498
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type CandleInterval = '1m' | '3m' | '5m' | '15m' | '30m' | '1h' | '2h' | '4h' | '6h' | '8h';
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interface PredictionResult {
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501
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/** Reference price used to compute the corridor (last close or the value passed as `currentPrice`). */
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currentPrice: number;
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/** One-period (or cumulative) volatility estimate, as a decimal log-return standard deviation (e.g. `0.012` = 1.2%). */
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sigma: number;
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/** Upward expected move in price units: `upperPrice - currentPrice`. */
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move: number;
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/** Upward expected move in percent (0–100 scale, e.g. `1.21` means 1.21%). Equal to `(exp(z·σ) - 1) * 100`. */
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movePercent: number;
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509
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/** Upper price band: `currentPrice · exp(+z·σ)`. */
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upperPrice: number;
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511
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/** Lower price band: `currentPrice · exp(-z·σ)`. Always positive. */
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lowerPrice: number;
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513
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/** Volatility model auto-selected by QLIKE. */
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modelType: 'garch' | 'egarch' | 'gjr-garch' | 'har-rv' | 'novas';
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/** `true` when the model converged, persistence < 0.999, and Ljung-Box p-value ≥ 0.05. */
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reliable: boolean;
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}
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/**
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