GARCH volatility model. More...
#include <ql/models/volatility/garch.hpp>
Inherits VolatilityCompositor.
Public Types | |
enum | Mode { MomentMatchingGuess, GammaGuess, BestOfTwo, DoubleOptimization } |
typedef TimeSeries< Volatility > | time_series |
typedef time_series::const_iterator | const_iterator |
typedef time_series::const_value_iterator | const_value_iterator |
Public Member Functions | |
Constructors | |
Garch11 (Real a, Real b, Real vl) | |
Garch11 (const time_series &qs, Mode mode=BestOfTwo) | |
Inspectors | |
Real | alpha () const |
Real | beta () const |
Real | omega () const |
Real | ltVol () const |
Real | logLikelihood () const |
Mode | mode () const |
VolatilityCompositor interface | |
time_series | calculate (const time_series "eSeries) |
void | calibrate (const time_series "eSeries) |
Additional interface | |
void | calibrate (const time_series "eSeries, OptimizationMethod &method, const EndCriteria &endCriteria) |
void | calibrate (const time_series "eSeries, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess) |
template<typename ForwardIterator > | |
void | calibrate (ForwardIterator begin, ForwardIterator end) |
template<typename ForwardIterator > | |
void | calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria) |
template<typename ForwardIterator > | |
void | calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria, const Array &initialGuess) |
Real | forecast (Real r, Real sigma2) const |
static time_series | calculate (const time_series "eSeries, Real alpha, Real beta, Real omega) |
template<typename InputIterator > | |
static Real | to_r2 (InputIterator begin, InputIterator end, std::vector< Volatility > &r2) |
static boost::shared_ptr< Problem > | calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, Real &alpha, Real &beta, Real &omega) |
static boost::shared_ptr< Problem > | calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, Real &alpha, Real &beta, Real &omega) |
static boost::shared_ptr< Problem > | calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) |
static boost::shared_ptr< Problem > | calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) |
static boost::shared_ptr< Problem > | calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) |
static boost::shared_ptr< Problem > | calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) |
template<class InputIterator > | |
static Real | costFunction (InputIterator begin, InputIterator end, Real alpha, Real beta, Real omega) |
GARCH volatility model.
Volatilities are assumed to be expressed on an annual basis.
enum Mode |
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static |
calibrates GARCH for r^2
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static |
calibrates GARCH for r^2 with user-defined optimization method and end criteria
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static |
calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess
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static |
calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess
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static |
calibrates GARCH for r^2 with user-defined optimization method, end criteria, constraints and initial guess