Volatility targeting with GARCH
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Hello!Can anyone please provide a code or clear directions of how to implement vol targeting with GARCH(1,1) on Matlab? Trying to estimate α,β given a target long term variance Vl. Thank you.
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카테고리
도움말 센터 및 File Exchange에서 Conditional Variance Models에 대해 자세히 알아보기
2014년 2월 18일
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