Heston Nandi parameters -newbie
Posted: November 2nd, 2010, 2:08 pm
Hi guys , I have a very newbie question. I am trying to fit the results from Heston-Nandi Garch to option prices to fix some paramaters ..I have a good fit on wings . can you advise me which parameters to modify in order to calibrate ATM call options. I have a good fit on both wings..however change of parameters has huge influnce on OTM and small on ITM strikes. however I cannot properly fit ATM Options. Can you advise what change of parameter can influnce pickiing whole curve up without so much disturbing wings ? something maybe like alpha in SABR model or are these just to model shocks and curvatures? Thanks Mike