Home  |  SAPEngine  |  VisualFunds  |  FinancialTweets  |  StockTweets  |  LocalMap  |  StrategyChart  |  SharpeMap

 

These lib functions are based on Garch11 excel methods (under books/G1.xls), including:
1. calc log returns
2. estimate MLE parameters for Garch11: omega, alpha, and beta   (likelihood functions, get the max likelihood)
3. calc Garch sigma
4. calc VaR with Garch sigma
5. calc VaR with unconditional sigma