Newbie, need help with GARCH

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Newbie, need help with GARCH

hipath
Hi All,

Tried to find some relative posts, but none that has been answered exists. So, basically I have a list of daily stock prices that goes back a few years in history and I need to input this to a suitable function to get GARCH estimate volatility.

Any simple code walkthrough would be greatly appreciated.

Regards,

George
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Re: Newbie, need help with GARCH

Luigi Ballabio
Hi George,
   calibration for the GARCH model was added recently, but was not yet
available in QuantLib 1.2.1.  If you want to try it out, check out the
trunk from the Subversion repository.  The code in
test-suite/garch.cpp should give you an idea of how to use the class;
if you have any problems, just post here on the list again.

Luigi


On Wed, Dec 5, 2012 at 11:53 AM, hipath <[hidden email]> wrote:

> Hi All,
>
> Tried to find some relative posts, but none that has been answered exists.
> So, basically I have a list of daily stock prices that goes back a few years
> in history and I need to input this to a suitable function to get GARCH
> estimate volatility.
>
> Any simple code walkthrough would be greatly appreciated.
>
> Regards,
>
> George
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Newbie-need-help-with-GARCH-tp13786.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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