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ARIMA and GARCH model in Excel/VBA
Posted: June 22nd, 2004, 11:09 am
by ComputerNerd
Do you know if I can find books/other references on ARIMA and GARCH models in Excel/VBA, followingthe setup in i.e. Brooks/Alexander's book on finanancial econometrics? I know it is not the "optimal" tool (I personally use Eviews and PCGive/Ox), but the client want the routines programmed in VBA. The only book I have find (which is very good BTW) is Undergraduate Econometrics with Carter Hill (Wiley). What I would need is a description/cookbook on how to actually program more complex nonlinear routines / optimization problems in VBA following maximum likelihood estimators from i.e. GARCH models.
ARIMA and GARCH model in Excel/VBA
Posted: June 23rd, 2004, 8:38 pm
by youyn
You may take a look at "Advanced Modelling in Finance Using Excel and VBA" by Mary Jackson and Mike Staunton
ARIMA and GARCH model in Excel/VBA
Posted: June 23rd, 2004, 9:40 pm
by Garywind
You can find many ARIMA and GARCH examples from google. I can show you some but I think you can find them yourself.c
ARIMA and GARCH model in Excel/VBA
Posted: June 25th, 2004, 7:03 am
by sjoo
I have a excel file named simpleGarch.xls written in German.I wish it will be helpful...
ARIMA and GARCH model in Excel/VBA
Posted: June 28th, 2004, 10:33 am
by ComputerNerd
Thank you very much for the program. I also find the ref. to the ARIMA modelin Jackson & Stautons book.