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

[SourceForge.net <no...@so...>]

Patches item #3599230, was opened at 2013-01-02 09:02
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3599230&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
>Assigned to: Luigi Ballabio (lballabio)
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.

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-04 06:20

Message:
The patch was applied to the code repository.
It will be included in next release.
Thank you.


----------------------------------------------------------------------

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