GARCH volatility model. More...
#include <ql/models/volatility/garch.hpp>
Inherits VolatilityCompositor.
Public Member Functions | |
Garch11 (Real a, Real b, Real vl) | |
Garch11 (const TimeSeries< Volatility > &qs) | |
TimeSeries< Volatility > | calculate (const TimeSeries< Volatility > "eSeries) |
TimeSeries< Volatility > | calculate (const TimeSeries< Volatility > "eSeries, Real, Real, Real) |
void | calibrate (const TimeSeries< Volatility > "eSeries) |
![]() | |
virtual TimeSeries< Volatility > | calculate (const TimeSeries< Volatility > &volatilitySeries)=0 |
virtual void | calibrate (const TimeSeries< Volatility > &volatilitySeries)=0 |
GARCH volatility model.
Volatilities are assumed to be expressed on an annual basis.