Include dependency graph for garch.cpp:
Go to the source code of this file.
Classes | |
| class | GARCH11_LL |
| #define | WANT_STREAM |
| #define | WANT_MATH |
| #define | WANT_FSTREAM |
| Real | square (Real x) |
| int | my_main () |
| int | main () |
Detailed Description
example: fit simple garch model. This is a demonstration of a special case of the Garch model Observe two series X and Y of length n and suppose Y(i) = beta * X(i) + epsilon(i) where epsilon(i) is normally distributed with zero mean and variance = h(i) = alpha0 + alpha1 * square(epsilon(i-1)) + beta1 * h(i-1). Then this program is supposed to estimate beta, alpha0, alpha1, beta1 The Garch model is supposed to model something like an instability in the stock or options market following an unexpected result. alpha1 determines the size of the instability and beta1 determines how quickly is dies away. We should, at least, have an X of several columns and beta as a vector
Definition in file garch.cpp.