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garch_walk

Function garch_walk 

Source
pub fn garch_walk<X, Y>(
    params: &WalkParams<X, Y>,
) -> Result<WalkPath, SimulationError>
Expand description

Built-in GARCH(1,1) walk kernel: simulates the price path together with the volatility path that drove it.

This is the shared implementation behind the default WalkTypeAble::garch and WalkTypeAble::garch_with_vol methods, exposed publicly so custom walkers overriding one of them can compose or wrap the built-in dynamics instead of reimplementing them.

ยงErrors

Same as WalkTypeAble::garch.