Basically, I now how to create the equation of gbm(in Matlab for example). But what if I want to perform Monte-Carlo simulation using GBM with stochastic volatility represented by GARCH(1,1). How GBM/GARCH(1,1) SDE looks and what are peculiarities of GBM/GARCH(1,1) modelling ?
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How can I create GBM/GARCH(1,1) model?
- Thread starter Oleksandr
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Daniel Duffy
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Have you ever done basic gbm parameter estimation and simulation?
Not a good idea to start with GARCH if you have never done that before.
Not a good idea to start with GARCH if you have never done that before.
