you know how sometimes when something just won't work and keeps going infinite and you're so wired on coffee and chocolate that you don't see the problem that's right in front of you??? no... well maybe it's just me problem now sorted....R.

<t>Hi.I'm currently worrying about why my garch/Levenberg-Marquardt engine (forgive the specificity from here on) is sending my values for components of my alpha (cf curvature) matrix through the roof - and I wondered if there's anybody here who has had (and resovled) similar issues.briefly, Hull gi...

<t>you make it sound so easy forgive my ignorance: I'm not clear what you mean when you say 'simulate a GARCH(1,1)'. are you suggesting some kind of monte carlo simul? if so, if there's a handy reference you could point me at I'd be very grateful. as it is I've been trying to track down "Grappling w...

<t>Hi.I'm writing a GARCH(1,1) engine using Levenberg-Marquardt parameter estimation (as described in Flattery et al) for volatility updates/forcecasts (as described in Hull) and I'm looking for a standard or accepted or just reasonable method of testing it. any advicewould be greatly appreciated.Ri...