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PureBytes Links
Trading Reference Links
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Try the link below. Do a page search for Garch. There is quite a lot
of material here to work with. I am trying to compile Fortran code to
use as dll's to call from Excel. No luck yet (I am not a programmer)
so I would be intersted to see how you get this to work.
Ron McEwan
GARCH Estimates - Analytic Derivatives and the Computation of GARCH
Estimates. Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo
Panattoni
http://www.fortranlib.com/freesoft.htm
--- In realtraders@xxxx, Andrew Peskin <Andrew@xxxx> wrote:
> I am interested in using/evaluating a measure of market volatility
> derived from the GARCH model. I would be interested in working with
> anyone who possesses a strong enough knowledge of mathematics
and/or the
> GARCH process, in order to code this routine and DLL. Once
completed
> the DLL could be used in any TradeStation ELA routine, VC, or VB
> application. I have the coding skills necessary to code the DLL, I
just
> need someone to explain to me what exactly is going on in GARCH.
>
> Anyone interested in pursuing this project, please contact me and
let me
> know.
>
> Andrew
>
> PS - If anyone has the full source code for GARCH, in either Basic
(VB
> or PB), C/C++, or Fortran, all the better.
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