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Simulating Asset Prices with a GARCH(1,1) Model

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Uploaded by on Jul 13, 2009

http://demonstrations.wolfram.com/SimulatingAssetPricesWithAGARCH11Model/

The Wolfram Demonstrations Project contains thousands of free interactive visualizations, with new entries added daily.

Independent, identically distributed, properly scaled Gaussian random numbers are the foundation upon which Brownian motion, geometric Brownian motion, and a wide variety of other diffusions are simulated. The GARCH model is different: the variance of t...

Contributed by: Jeff Hamrick

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Education

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Standard YouTube License

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