Posted by
Slava Mazur-2 on
May 15, 2012; 1:12pm
URL: http://quantlib.414.s1.nabble.com/Re-Garch11-in-Quantlib-Luigi-Ballabio-tp8874.html
Check it out:
http://sourceforge.net/tracker/?func=detail&aid=3102452&group_id=12740&atid=312740Submitted 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]>
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<
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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 <
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Message-ID:
<
[hidden email]>
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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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