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GARCH (1.1)
Should be updated (alpha, beta, omega) every 60 days.- Eigminas
- Post #2
- Forum: P2.T5. Market Risk Measurement & Management
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E
GARCH (1.1)
Hi, I have a question. When calculating volatility using GARCH (1.1) using for instance 1260 (daily returns) observations in excel, according P. Christoffersen the oldest volatility in the sample is equal to simple standard deviation of all 1260 observations. Then all the next days volatility...- Eigminas
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- Replies: 1
- Forum: P2.T5. Market Risk Measurement & Management