WebCab XL Community Edition

Volatility.GarchVolEst Method 

Estimates of the volatility according to the GARCH(1,1) model for the (i+1)th day.

public double GarchVolEst(
   double LongTermVar,
   double LgTermVarWe,
   double IthVolEst,
   double IthVolWei,
   double IthDayPrice,
   double I_1thDayPrice,
   double Weight
);

Parameters

LongTermVar
Long term average variance.
LgTermVarWe
The weight given to the long term variance.
IthVolEst
The estimate of the volatility for the ith day.
IthVolWei
The weight given to the estimate of the volatility from the ith day.
IthDayPrice
The market price of the asset at the close on the ith day.
I_1thDayPrice
The market price of the underlying asset at the open of the previous business day.
Weight
The weight associated within the model to the influence of the return on the asset over the last day.

Remarks

Note that the sum of the weights associated with the long term variance, previous estimate of the volatility and asset price should add up to one.

Excel Remarks

The full name of this function inside Excel is Port_Volatility_GarchVolEst.

Exceptions

Exception TypeCondition
OptionsExceptionThrown when the sun of the weights associated with the long term variance, previous estimate of the volatility and the asset price are not equal to 1.

See Also

Volatility Class | Portfolio Namespace