Abstract
Problems of estimation and forecasting of volatility are of considerable interest in various applications of economy and finance. In this paper, we propose an open program code (by C ++ language), which implements a robust heuristic algorithm for the numerical evaluation of the parameters of the linear model GARCH (1,1), with provision for its machine-dependent aspects. The program can be easily implemented by any programming language, does not require third-party mathematical procedures, so as selection of the initial values of the parameters for the model volatility. A numerical example is presented.
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