Re: 答复: Calibration of GARCH11 Model in QuantLib

Posted by qzhhugh on
URL: http://quantlib.414.s1.nabble.com/Calibration-of-GARCH11-Model-in-QuantLib-tp15530p15532.html

Hi Cheng,
 
Thank you for your answer! However, I'm quite sure there is volatility on daily basis and this kind of volatility appears in many cases. For example, we can put daily returns, like ln(S2/S1), into the GARCH model in Matlab to calibrate the parameters. Thanks again.
 
Regards,
Zhehui