GARCH and EGARCH modeling in Excel
Posted by Yu-Kuan on July 17, 2000 6:55 PM
Does anyone know about GARCH (General Autoregressive Conditional Heteroskedastic) and EGARCH (Exponential GARCH) financial modeling in Excel and VBA? My company wants me to implement this in Excel, but I am not familiar with this. I'm decently familiar with statistical modeling, but haven't done something on this scale before, so any suggestions, comments, references to internet sources, SAMPLE code, would be greatly appreciated.
Thanks very mcuh