Azzera filtri
Azzera filtri

Damiano Brigo: A stochastic process toolkit for risk management

3 visualizzazioni (ultimi 30 giorni)
Hi there, folllowing on from the the tutorial above (google it and you will find the pdf).
I am interested in his calibration of NGARCH and GBM with jumps. When he does the MLE how can he estimate the parameters?
For NGARCH what input do you put for (mu, omega, alpha, beta and gamma)
and for GBM with jumps what input do you put for (mu_star, sigma, lambda, mu_y, sigma_y)?
Please help

Risposte (0)

Categorie

Scopri di più su Risk Management Toolbox in Help Center e File Exchange

Community Treasure Hunt

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

Start Hunting!

Translated by