Daniel Duffy
C++ author, trainer
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- 10/4/07
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Russell Davidson has written an econometrics software package in C++, called Ects.
Take a look (the link to the source code around the bottom): http://russell-davidson.arts.mcgill.ca/ects4/
If we take GARCH(1,1) I think we need C++ modules for the following use cases:
1. Parameter estimation (ML, BHHH).
2. Validating the parameters/goodness of fit (e.g. qq, Ljung-Box)
3. Forecasting vol
4. Use in e.g. option pricer.
It is hard to say how much coding this would be in C++ (rough wild guess 2KLOC). Probably a lot can be used from Boost, Eigen, Alglib etc.
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