Garch Model for Volatility test

[shail]

HI


Can anyone help me that in Garch11,how do we calculate alpha,beta and omega.
Is there any method in QuantLib 0.9.7 so as to calculate these variables using historical values
of returns and volatilities.

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[Slava Mazur-2]

Currently GARCH calibration piece is missing as far as I can judge.

I have my own local implementation and I’m willing to discuss contribution.

However, it depends on some other changes to “time series” part of quantlib that have to be patched first.

To make it smooth I think it needs to be done in small portions. However, my first patch regarding FFT seems to stuck in limbo.

So, as soon as it’s implemented we can move forward.

 

Regards,

 

Slava Mazur

 

From: shailesh kumar [mailto:[hidden email]]
Sent: Wednesday, December 24, 2008 12:16 PM
To: quantlib
Subject: [Quantlib-users] Garch Model for Volatility test

 

HI


Can anyone help me that in Garch11,how do we calculate alpha,beta and omega.
Is there any method in QuantLib 0.9.7 so as to calculate these variables using historical values
of returns and volatilities.

 

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[Luigi Ballabio]

On Mon, 2009-01-05 at 09:48 -0500, Slava Mazur wrote:
> However, my first patch regarding FFT seems to stuck in limbo.

Yes, sorry.  Between holidays and my real work, I haven't had the time
to add your patch yet.

I'm looking at it now. The only question I have is about copyright. Is
it ok for me to attribute it as

Copyright (C) 2009 Slava Mazur

or should the copyright go to some other entity? (e.g, your company)

Luigi


--

Just remember what ol' Jack Burton does when the earth quakes, the
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah,
Jack Burton just looks that big old storm right in the eye and says,
"Give me your best shot. I can take it."
-- Jack Burton, "Big trouble in Little China"



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