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I would have thought the GARCH methodology was a little beyond EL's
capabilities, and if not, beyond the capabilities of most EL programmers (no
disrespect to readers of this forum intended).
The 64kb limit on EL programs means you'd probably have to nest dozens of
the little chaps. Better to code something like that in C++ I imagine.
Perhaps one of the OSPs can help you with an addin? But I doubt that'll come
cheap.
Of course like you I'd be interested if someone has coded GARCH.
Rus
-----Original Message-----
From: Ben the Trader <ben.trader@xxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: 11 February 1999 18:52
Subject: GARCH
>Does anyone have, or know where to obtain, information of EL code for the
>GARCH method (Generalised AutoRegresive Conditional Hetroscedasticity)??
>
>What a mouthful hey!
>
>Regards
>
>Ben
>----------------------------------------
>Ben Tristem BEng (Hons)
>Private Derivatives Trader
>
>
>
>
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