Garch11 in Quantlib

[Yue Zhao]

Hi, 

My question might be silly. I am using the Garch11 class in QL, but I didn't see how to calibrate this model. Does anyone know how do calibration?

Best

Yue

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[Luigi Ballabio]

Hi,
    at this time there's no code for calibration in the library (the
Garch11 class declares a calibrate method, but it's empty). If anyone
wants to contribute it, I'll be glad to add it to the repository.

Luigi

On Mon, May 14, 2012 at 7:25 PM, Yue Zhao <[hidden email]> wrote:
> My question might be silly. I am using the Garch11 class in QL, but I didn't
> see how to calibrate this model. Does anyone know how do calibration?

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[Luigi Ballabio]

Thanks, Slava.  Somehow I managed to lose track of it.  Not the last
time I'll make a fool of myself, I guess...

I'll try and have a look shortly.

Luigi

On Tue, May 15, 2012 at 3:12 PM, Slava Mazur <[hidden email]> wrote:

> Check it out:
>
> http://sourceforge.net/tracker/?func=detail&aid=3102452&group_id=12740&atid=312740
>
> Submitted there on Nov 2010.
>
> Cheers,
>
> Slava Mazur
>
>
> Message: 5
> Date: Mon, 14 May 2012 13:25:47 -0400
> From: Yue Zhao <[hidden email]>
> Subject: [Quantlib-dev] Garch11 in Quantlib
> To: QuantLib Dev <[hidden email]>
> Message-ID:
>        <[hidden email]>
> Content-Type: text/plain; charset="iso-8859-1"
>
> Hi,
>
> My question might be silly. I am using the Garch11 class in QL, but I didn't see how to calibrate this model. Does anyone know how do calibration?
>
> Best
>
> Yue
> -------------- next part --------------
> An HTML attachment was scrubbed...
>
> ------------------------------
>
> Message: 6
> Date: Tue, 15 May 2012 09:35:10 +0200
> From: Luigi Ballabio <[hidden email]>
> Subject: Re: [Quantlib-dev] Garch11 in Quantlib
> To: Yue Zhao <[hidden email]>
> Cc: QuantLib Dev <[hidden email]>
> Message-ID:
>        <[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1
>
> Hi,
>    at this time there's no code for calibration in the library (the
> Garch11 class declares a calibrate method, but it's empty). If anyone wants to contribute it, I'll be glad to add it to the repository.
>
> Luigi
>
> On Mon, May 14, 2012 at 7:25 PM, Yue Zhao <[hidden email]> wrote:
>> My question might be silly. I am using the Garch11 class in QL, but I
>> didn't see how to calibrate this model. Does anyone know how do calibration?
>
>
>
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