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testing GARCH(1,1)
Posted: April 14th, 2004, 8:30 am
by richardd
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.Richard.
testing GARCH(1,1)
Posted: April 14th, 2004, 9:59 am
by SPAAGG
Just simulte a GARCH(1,1) and then, with your time series, fit your GARCH. You should find the same parameters and have gaussian residuals, iidhope it helpsDavid
testing GARCH(1,1)
Posted: April 14th, 2004, 1:50 pm
by richardd
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 with GARCH", Engle & Mezrich, but I can only find references to a september edition of RISK and have had no luck in finding a RISK repository where I might get hold of it.thanks in advance,Richard.
testing GARCH(1,1)
Posted: April 14th, 2004, 2:19 pm
by SPAAGG
try to download R, from R-projectI am sure you'll find free package to simulate a GARCH(1,1) process. good luck
testing GARCH(1,1)
Posted: April 15th, 2004, 10:53 am
by quantman
Hi richardd,email me your sample data and your results, I'll compare it to the results I'd get on my GARCH engine (which can also handle EGARCH and some others kind) on the same sample. I know that my engine is pretty robust as I backtested it against GARCH toolboxes (Eviews and Matlab).Tell me if it suits you.Regards.
testing GARCH(1,1)
Posted: April 17th, 2004, 10:00 pm
by NoDoubts