Re: Calibration of GARCH11 Model in QuantLib

Posted by Slava Mazur-2 on
URL: http://quantlib.414.s1.nabble.com/Calibration-of-GARCH11-Model-in-QuantLib-tp15530p15535.html

Hi Zhehui,

You can rescale your returns to whatever time horizon you please and get the results for the same time horizon.

The comment you are referring to is left there unchanged because i simply overlooked it.

Hope this helps.

Regards,

Slava Mazur

From: 钱哲辉 [mailto:[hidden email]]
Sent: Friday, June 20, 2014 3:27 AM
To: quantlib-users
Subject: [Quantlib-users] Calibration of GARCH11 Model in QuantLib

 

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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