Volatility targeting with GARCH

18 Feb 2014
0 Risposte
12 Visualizzazioni (30 giorni)

0 voti

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 Centro assistenza e File Exchange

Tag

Richiesto:

Nikolaos Zikas
Nikolaos Zikas
il 18 Feb 2014

Community Treasure Hunt

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

Start Hunting!

Translated by