(October 1st, 2009) - NumXL 1.0
- Added Function, EWXCF, to compute the correlation time series using exponential weighted volatility and covariance.
- Added Functions to calibrate the user's model(s). The need for such functions arises in the model's parameter stability and back-testing using rolling windows.
- Added Support for building hybrid models (e.g. ARMA for the mean and GARCH for the vol, GLM+ARMA for the mean and EGARCH for the vol, etc.)
- Added Generalized Linear Model (GLM) to the list of supported models. The GLM is introduced to present linear models for exogenous factors (e.g. calendar events, economical data, etc.)
- MINOR: NumXL clears any messages posted to Excel's status bar upon loading.
- Added Calibration (i.e. model fitting) functionality to NumXL UI's menu and toolbar. Upon selection, NumXL initializes the Solver's Add-in fields with the selected model's values and launches it on screen.