WebCab Portfolio for COM 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 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 | WebCab.COM.Finance.Portfolio Namespace