GARCH Parameters Estimation

[owais]

Hi All


Have any one here done Coding in VBA for GARCH Parameters Estimation Kindly plz see if you could share with me or give me some hints in constructing that in Excel VBA


Thanks

 

[Sanket Patel]

I have a GARCH model set up in a spread-sheet. I made the spread-sheet for a research paper I was working on - I was too lazy code in VBA, so I just did a spread sheet.

You're welcome the spread sheet if you want. I can transfer it in VBA code, if you'd like, but it'll take me a few days...it's finals week right now.

 

[anandbohra]

find this file in either 4shared.com or esnips.com
option-pricing-models-and-volatility-using-excel-vba-wiley-finance.pdf (14.5 MB)
there everything is given in Excel VBA

 

[anandbohra]

I have a GARCH model set up in a spread-sheet. I made the spread-sheet for a research paper I was working on - I was too lazy code in VBA, so I just did a spread sheet.

You're welcome the spread sheet if you want. I can transfer it in VBA code, if you'd like, but it'll take me a few days...it's finals week right now.

will u pl send me that SPREAD SHEET as the option book which I had mentioned is there with me in PDF but since I dont have CD so cant check calculation in EXCEL
pl mail me GARCH spread sheet at bohra_anand@yahoo.co.in & any other detailed notes on GARCH as I want to predict future values (volatility based on historical data)

awaiting for your earliest reply:tiphat:

 

[anandbohra]

Pl find the attached file for GARCH spread sheets which I have (taken from various sources / persons)

 

[miankhaliq]

hey every one

can any one help me out plz.. i need to measure GARCH model's parameters by using MLE .... i have seen the files shared by different ppl here but they assumed the Alpha beta values instead of calculating .... i would be extremely greatful to all of u ... thanks. khaliq

 

[Sanket Patel]

...i have seen the files shared by different ppl here but they assumed the Alpha beta values instead of calculating ....

I don't think you looked hard enough. In the GARCH.xls file, in Garch.zip, the parameters are being calculated - they're not hardcoded. Take a look at Solver.

 

[HyperVolatility]

GARCH Parameters

Use Excel Solver to calculate the parameters but you have to be careful because Solver is not extremely reliable and sometimes the parameters are a bit too appoximate.

have a look at your univerisity maybe they have got Eviews, MatLab or R

However, if you want to know more about asymmetric GARCH models have a look at this website www.hypervolatility.com

 

[luffy]

I have a GARCH model set up in a spread-sheet. I made the spread-sheet for a research paper I was working on - I was too lazy code in VBA, so I just did a spread sheet.

You're welcome the spread sheet if you want. I can transfer it in VBA code, if you'd like, but it'll take me a few days...it's finals week right now.

Sanket I am currently doing a thesis on GARCH model and was wondering if you have the spread sheet transfered to VBA code yet? It would be of a great help if u did have it and much appreciated

 

[Alexei]

Was the MLE procedure used?

 

[luffy]

What im trying to do is I have 2 years worth of data on which I need to estimate the GARCH parameters for aswell as the MLE. Then I need to calculate the 95% and 99% VaR for the next 200 days or so and see how many exceedances I get. Can anyone help?

 

[luv_musique]

Hi Sanket, my name's Musique. I am currently doing my college FYP about GARCH model, I knew from the forum that you have developed a GARCH model in spreasheet, can you send me the file so that I can have more ideas on that?thanks!

 

[pawelach]

Hey, I have written an extensive post on GARCH(p,q) model and its practical execution at http://www.quantatrisk.com this year. Just have a look for ready-to-use theory, coding and execution: http://www.quantatrisk.com/2013/03/...it-strategy-for-intraday-algorithmic-traders/ -Cheers! Pawel