GARCH11 Log Likelihood ......

[deepak sharma-4]

HI


Can anyone help me that in Garch11, how we calculate alpha, beta and omega.
I’m using QuantLib 0.9.7, is it available in latest version of QuantLib release.

Thanks & Regards,

Deepak Sharma, Software Engineer , Banking Products Group , 3i Infotech Ltd.
Tel. Direct: [phone] | Cell: + 91 9223513327 | Email: [hidden email] | www.3i-infotech.com

 

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[Yee Man Chan]

I think the Hull book described a way to estimate alpha, beta for GARCH(1,1) using past data. If you need to do anything more than GARCH(1,1), you need a optimization package, e.g. levmar.

You can also use Kalman filter to fit these parameters to option prices. But I have never done that though.

Good luck!
Yee Man

--- On Tue, 6/1/10, Deepak <[hidden email]> wrote:

From: Deepak <[hidden email]>
Subject: [Quantlib-dev] GARCH11 Log Likelihood ......
To: [hidden email]
Cc: [hidden email]
Date: Tuesday, June 1, 2010, 3:42 AM

HI


Can anyone help me that in Garch11, how we calculate alpha, beta and omega.
I’m using QuantLib 0.9.7, is it available in latest version of QuantLib release.

Thanks & Regards,

Deepak Sharma, Software Engineer , Banking Products Group , 3i Infotech Ltd.
Tel. Direct: [phone] | Cell: + 91 9223513327 | Email: [hidden email] | www.3i-infotech.com

 

* 3i Infotech wins the "WorldBlu List of Most Democratic Workplaces 2010" Award

This e-mail message may contain confidential,proprietary or legally privileged information. It should not be used by anyone who is not the original intended recipient. If you have erroneously received this message, please delete it immediately and notify the sender. The recipient acknowledges that 3i Infotech or its subsidiaries and associated companies,(collectively "3i Infotech"), are unable to exercise control or ensure or guarantee the integrity of/over the contents of the information contained in e-mail transmissions and further acknowledges that any views expressed in this message are those of the individual sender and no binding nature of the message shall be implied or assumed unless the sender does so expressly with due authority of 3i Infotech. Before opening any attachments please check them for viruses and defects.

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[Luigi Ballabio]

On Tue, 2010-06-01 at 16:12 +0530, Deepak wrote:
> Can anyone help me that in Garch11, how we calculate alpha, beta and
> omega.

>From what I see, there's only a stub for the calibration method in the
Garch class---no actual code.  Anyone wanting to give it a try?

Luigi


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