WebCab Portfolio for .NET v5.0 Demo | |
Volatility.GarchVolatilityEstimate Method
Estimates of the volatility according to the GARCH(1,1) model for the (i+1)th day.
public
double GarchVolatilityEstimate(
double longTermVariance,
double longTermVarianceWeight,
double ithDayVolatilityEstimate,
double ithDayVolatilityEstimateWeight,
double ithDayAssetPrice,
double i_1thDayAssetPrice,
double assetPriceWeight);
Parameters
- longTermVariance
- Long term average variance.
- longTermVarianceWeight
- The weight given to the long term variance.
- ithDayVolatilityEstimate
- The estimate of the volatility for the ith day.
- ithDayVolatilityEstimateWeight
- The weight given to the estimate of the volatility from the ith day.
- ithDayAssetPrice
- The market price of the asset at the close on the ith day.
- i_1thDayAssetPrice
- The market price of the underlying asset at the open of the previous business day.
- assetPriceWeight
- 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.
Exceptions
Exception Type | Condition |
---|
OptionsException | Thrown 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 | WebCab.Libraries.Finance.Portfolio Namespace