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<title>Garch11 Class Reference</title>
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<!-- doxytag: class="QuantLib::Garch11" --><!-- doxytag: inherits="QuantLib::VolatilityCompositor" -->
<p>GARCH volatility model.
<a href="class_quant_lib_1_1_garch11.html#details">More...</a></p>
<p><code>#include <ql/models/volatility/garch.hpp></code></p>
<p>Inherits VolatilityCompositor.</p>
<p><a href="class_quant_lib_1_1_garch11-members.html">List of all members.</a></p>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5f96f517b814e7fa452aa77234f95d3a"></a><!-- doxytag: member="QuantLib::Garch11::Garch11" ref="a5f96f517b814e7fa452aa77234f95d3a" args="(Real a, Real b, Real vl)" -->
 </td><td class="memItemRight" valign="bottom"><b>Garch11</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> vl)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a62c9ab7102b3c64bdbc952d4e1807929"></a><!-- doxytag: member="QuantLib::Garch11::Garch11" ref="a62c9ab7102b3c64bdbc952d4e1807929" args="(const TimeSeries< Volatility > &qs)" -->
 </td><td class="memItemRight" valign="bottom"><b>Garch11</b> (const <a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > &qs)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a32fdfa0e49d602f4f56814ee4fcb0bd1"></a><!-- doxytag: member="QuantLib::Garch11::calculate" ref="a32fdfa0e49d602f4f56814ee4fcb0bd1" args="(const TimeSeries< Volatility > &quoteSeries)" -->
<a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>calculate</b> (const <a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > &quoteSeries)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2639692cf9c864c3ea4a5e05a70ec6aa"></a><!-- doxytag: member="QuantLib::Garch11::calculate" ref="a2639692cf9c864c3ea4a5e05a70ec6aa" args="(const TimeSeries< Volatility > &quoteSeries, Real, Real, Real)" -->
<a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>calculate</b> (const <a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > &quoteSeries, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7e3c6f9b2879fae5094226692b4b26d9"></a><!-- doxytag: member="QuantLib::Garch11::calibrate" ref="a7e3c6f9b2879fae5094226692b4b26d9" args="(const TimeSeries< Volatility > &quoteSeries)" -->
void </td><td class="memItemRight" valign="bottom"><b>calibrate</b> (const <a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > &quoteSeries)</td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>GARCH volatility model. </p>
<p>Volatilities are assumed to be expressed on an annual basis. </p>
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