Garch(1,1) parameters in vba

TheHarlequin · August 25th, 2006, 9:53 am

Hi,I'm having trouble finding reasonably simple online documentation for calculating Garch(1,1) parameters (alpha, beta ...via maximum likelihood.I'll be using it for FX under Excel.Is Levenburg-Marquardt (or any other method) really hard to program in vba? If anyone can point me to an online tutorial or some code I would be very grateful.Thank you

bismarx · August 28th, 2006, 7:21 pm

Have a look at the following websiteActually it's in c++ but....once you've got the alghoritms you can try to translate it in vba.hope it helps you.Numerical recipes in c++

TheHarlequin · August 30th, 2006, 5:30 am

Thanks, found it in the C book there.

asd · August 30th, 2006, 3:54 pm

Also there is a VBA implementation of Levenberg class in Hull White Model. ( If you are looking for GARCH code, there are a couple of links which show on search for GARCH term in the search box at top right side. )Hope it helps.Regards