The idea was that you'd put in a time series into calibrate which would set
the parameters for the GARCH model. You could then use the object for a
> Hi Joseph,
>
> One question:
> What does the function - calibrate() work for?
> Is it for the "maximum likelihood estimation" of parameters?
> thanks a lot.
>
>
> Regards,
>
> Charles
>
> On 7/18/06, Joseph Wang <
[hidden email]> wrote:
> > Charles Wings was in the process of implementing GARCH(1,1) in C++ using
> > code that is half written there. You might want to get in touch with
> > him to see if you two can cooperate.
> >
> > 在 2006-07-17一的 14:45 +0100，Patrick X. Zhang写道：
> >
> > > Hello Joe:
> > >
> > > Read your thread on Wilmott about "Weirdness in Shanghai warrants":
> > >
> > >
> > > Fri Apr 21, 06
> > > 04:05 PM
> > > User is offline
> > > View users
> > > profile
> > >
> > > I'm starting to
> > > finally get some
> > > results in
> > > looking at
> > > Shanghai
> > > warrants, and
> > > they are very
> > > odd.
> > >
> > > I've calculated
> > > the implied vols
> > > of a put warrant,
> > > a call warrant,
> > > and the
> > > underlying using
> > > constant weight
> > > (I'll try to do a
> > > GARCH calculation
> > > next week once I
> > > code up a GARCH
> > > class in
> > > QuantLib).
> > >
> > > ......
> > >
> > >
> > > Another question.
> > >
> > > Has anyone
> > > written and
> > > freeware plot
> > > templates in R
> > > that plot
> > > candlestick
> > > diagrams and/or
> > > variograms/coorelationgrams? If not, I'll delve into the guts of R and
> > > write some.
> > >
> > >
> > >
> > >
> > >
> > > Just wanted to know whether you have done the GARCH part in C++ or R -
> > > I'm trying to implement GARCH(1,1) in VB.NET and obviously the problem
> > > is the maximization/minimization routine (if we don't use Excel
> > > Solver). Any thoughts? Someone else said R could do it but I have no
> > > idea how ;-( Thanks a lot.
> > >
> > > Best,
> > > Pat