Calibration of GARCH11 Model in QuantLib

Posted by qzhhugh on
URL: http://quantlib.414.s1.nabble.com/Calibration-of-GARCH11-Model-in-QuantLib-tp15530.html

Hi,

 

I am new in using QuantLib. Suppose I have the everyday close prices of S&P 500 index, next I have to convert these prices to yield rates. In common sense, daily yield is needed to calibrate GARCH11 Model. However, the comments in Garch11(a class) of QuantLib says, 'Volatilities are assumed to be expressed on an annual basis'. And I get confused. Which kind of yield should I put into the constructor of Garch11 in QuantLib? Hope someone could help me out, a simple piece of code is appreciated.

 

Thanks.

 

Zhehui Qian

 

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