I am performing a monte-carlo simulation in MATLAB for the first order EGARCH model in which case I am simulating 100 paths of size 500 assuming Gaussian and Student's-t distributions for the ...
In calculating realized/historical vol for fx spot, my samples/fixings are currently every minute. I need to be able to calculate and plot historical/realized vol on demand from spot prices. ...
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?