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Tinkerz
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Posts: 5
Joined: February 12th, 2007, 8:17 pm

VBA garch egarch ARMA etc

September 24th, 2008, 10:52 am

Hi,I am looking for Garch models in VBA excel, does anyone know of links that dont use the solver in excel or books to read up on etc?Really looking for complete VBA code so I can use as a basis to learn and transfer to other programs.Thanks T
 
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Tinkerz
Topic Author
Posts: 5
Joined: February 12th, 2007, 8:17 pm

VBA garch egarch ARMA etc

September 24th, 2008, 1:27 pm

No recommended books with sample code out there at all?
 
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Siberian
Posts: 298
Joined: June 25th, 2003, 8:56 pm

VBA garch egarch ARMA etc

September 24th, 2008, 1:58 pm

Vainberg's book Options Pricing Models and Vol using Excel-VBA. Christoffersen's book Elements of Financial Risk Management. Very easy read. Both of them can be found here, it's Greg's website:http://www.vbnumericalmethods.com/books/You can just google these things you know...Cheers,Ev
 
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Tinkerz
Topic Author
Posts: 5
Joined: February 12th, 2007, 8:17 pm

VBA garch egarch ARMA etc

September 24th, 2008, 2:10 pm

Yes thanks I am aware of googling, I felt the best references would come from here
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