The basics of ARCH / GARCH

[Daniel Duffy]

Russell Davidson has written an econometrics software package in C++, called Ects.
Take a look (the link to the source code around the bottom): http://russell-davidson.arts.mcgill.ca/ects4/

If we take GARCH(1,1) I think we need C++ modules for the following use cases:

1. Parameter estimation (ML, BHHH).
2. Validating the parameters/goodness of fit (e.g. qq, Ljung-Box)
3. Forecasting vol
4. Use in e.g. option pricer.

It is hard to say how much coding this would be in C++ (rough wild guess 2KLOC). Probably a lot can be used from Boost, Eigen, Alglib etc.

 

[Daniel Duffy]

Hey, what about Gauss?
http://en.wikipedia.org/wiki/GAUSS_(software)