Volatility targeting with GARCH

7 visualizzazioni (ultimi 30 giorni)
Nikolaos Zikas
Nikolaos Zikas il 18 Feb 2014
Hello!Can anyone please provide a code or clear directions of how to implement vol targeting with GARCH(1,1) on Matlab? Trying to estimate α,β given a target long term variance Vl. Thank you.

Accedi per rispondere a questa domanda.

Risposte (0)

Categorie

Scopri di più su Conditional Variance Models in Help Center e File Exchange

Tag

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by