Re: Garch11 in Quantlib (Luigi Ballabio)

[Slava Mazur-2]

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
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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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[Luigi Ballabio]

Done.  Apologies for the delay.

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?
>
>
>
> ------------------------------
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>
> ------------------------------
>
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
> End of QuantLib-dev Digest, Vol 72, Issue 5
> *******************************************
>
>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

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