Garch11 (3) - Linux Manuals

Garch11: GARCH volatility model.

Command to display Garch11 manual in Linux: $ man 3 Garch11

NAME

QuantLib::Garch11 - GARCH volatility model.

SYNOPSIS

#include <ql/models/volatility/garch.hpp>

Inherits QuantLib::VolatilityCompositor.

Public Member Functions

Garch11 (Real a, Real b, Real vl)

Garch11 (const TimeSeries< Volatility > &qs)

TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries)

TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries, Real, Real, Real)

void calibrate (const TimeSeries< Volatility > &quoteSeries)

Detailed Description

GARCH volatility model.

Volatilities are assumed to be expressed on an annual basis.

Author

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