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Re: [RT] Re: Collaboration on a GARCH DLL Anyone?



PureBytes Links

Trading Reference Links


May also want to look at "R"; GARCH is built into the
"tseries" module, works great on Windows, Mac, Unix
but takes some time to learn:
http://cran.r-project.org/



rmac@xxxxxxxx wrote:
>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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