Table of Contents

Enum Garch11Mode

Namespace
NanoQL.Models
Assembly
NanoQL.dll

The initial guess of a GARCH(1,1) calibration, QuantLib's Garch11::Mode.

public enum Garch11Mode

Fields

BestOfTwo = 2

The best of the two above modes.

DoubleOptimization = 3

Double optimization.

GammaGuess = 1

The initial guess is an estimate of gamma based on the property: acf(i+1) = gamma*acf(i) for i > 1.

MomentMatchingGuess = 0

The initial guess is a moment matching estimates for mean(r2), acf(0), and acf(1).