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updated 7 months ago

GARCH,EGARCH,NAGARCH,GJR models and implicit VIX by Luis Espejo

Estimate GARCH/EGARCH/NAGARCH/GJR parameters from a time series of prices , rates and VIX value. (garch, vix, calibration)

Futures

Models

egarchmodel

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updated 4 years ago

Kalman Filter Application two factor CIR by Nils Delava

Estimates the parameters of the two factor CIR model on the UK German, and US term structures. (finance, cir, term structure)

MinimizeLLtwoCIR

sumll=LLtwoCIR(para,Y, tau, nrow, ncol)

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updated 4 years ago

Kalman Filter Application CIR by Nils Delava

Estimates the parameters of the CIR model on a generated term structure (finance, cir, term structure)

[Rt]=RateSimCIR(theta,kappa,sigma,lambda,dt,ratestart,mon...

[para, sumll]=MinimizeLLRateSimCIR()

sumll=LLoneCIR(para,Y, tau, nrow, ncol)

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