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Mate 2u

Damiano Brigo: A stochastic process toolkit for risk management

Asked by Mate 2u
on 12 Feb 2012

Hi there, folllowing on from the the tutorial above (google it and you will find the pdf).

I am interested in his calibration of NGARCH and GBM with jumps. When he does the MLE how can he estimate the parameters?

For NGARCH what input do you put for (mu, omega, alpha, beta and gamma)

and for GBM with jumps what input do you put for (mu_star, sigma, lambda, mu_y, sigma_y)?

Please help

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