WebCab Portfolio for COM v5.0 Demo

Volatility.ArchVolatilityEstimate Method 

Returns the estimate of the volatility according to the ARCH model.

public double ArchVolatilityEstimate(
   double longTermVolatility,
   double weightOfVolatility,
   double[] observations,
   double[] weights
);

Parameters

longTermVolatility
This is the long term volatility.
weightOfVolatility
This is the weight assigned to the volatility.
observations
An array of historical observations.
weights
An array of weights associated to the historical observations.

Remarks

If the sum of the weights is not within 0.1 of 1, or the number of weights does not correspond to the number of observations them the method will throw an exception. Note that for the input arrays the first value observations[0] is the latest observation and observations[1] is the previous observation and so on.

Exceptions

Exception TypeCondition
OptionsExceptionThrown when the number of observations is not equal to the number of weights.

See Also

Volatility Class | WebCab.COM.Finance.Portfolio Namespace