What's the vl parameter?

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What's the vl parameter?

Andrew Leach
Hi,

I'm reading the source code to try and understand the Garch class and learn how to implement it; learning lots about C++ I didn't know in the process.

In the basic constructor for the class (Garch11(Real a, Real b, Real vl)) there's the parameter vl which then translates into vl_ and itVol. What is this please? Is it Volume or Volatility? If it's volatility, where do I get this from please?

I appreciate this is possibly related to the underlying mathematics but I don't understand that too much either.

Also, are there any specific reasons, maths related or not, why the minimum datasize for the calibrate_r2 method is 4?

Thanks in advance.
Andrew
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