[Quantlib-dev] [ quantlib-Patches-3599230 ] Fixed a forward looking bias issue in Garch11::calculate

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Patches item #3599230, was opened at 2013-01-02 09:02
Message generated for change (Tracker Item Submitted) made by shlagbaum
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: Fixed a forward looking bias issue in Garch11::calculate 

Initial Comment:
Garch11::calculate re-implemented so that the current volatility estimate depends on a prior return and a prior volatility estimator. A corresponding test case is added to the test suite.

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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3599230&group_id=12740