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Jul 24

Parameters estimation of GARCH model

Posted by abiao at 14:19 | Code » VBA/Excel | Comments(7) | Reads(10616)

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Parameters estimation of GARCH model.

http://w3.uniroma1.it/passalac/buffer/GARCH.xls


wiki(GARCH)

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rage
2010/09/27 06:38 [Add/Edit reply] [Clear reply] [Del comment] [Block]
This excel file is just a simulation of GARCH instead of estimation!
abiao Homepage
2010/09/27 11:01 [Add/Edit reply] [Clear reply] [Del comment] [Block]
cell j7 ~ j12 is for estimation using Excel solver.
grv Email
2010/10/29 09:43 [Add/Edit reply] [Clear reply] [Del comment] [Block]
That looks very helpful. Can you share the study/method from which this is implemented??
abiao Homepage
2010/10/29 10:51 [Add/Edit reply] [Clear reply] [Del comment] [Block]
http://en.wikipedia.org/wiki/Autoregressive_conditional_heteroskedasticity
kim Email
2011/01/24 05:25 [Add/Edit reply] [Clear reply] [Del comment] [Block]
why??
Parameters estimation of GARCH model.

how to??

parameters etatmation of  garch model  
how to excel VBA?? CODE??
abiao Homepage
2011/01/24 07:48 [Add/Edit reply] [Clear reply] [Del comment] [Block]
use excel solver as the file does.
kim Email
2011/01/24 08:18 [Add/Edit reply] [Clear reply] [Del comment] [Block]
i don't know

how to garch paremeters estimation??

how to??
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