NumXL 1.0

(October 1st, 2009) - NumXL 1.0

  1. Added Function, EWXCF, to compute the correlation time series using exponential weighted volatility and covariance.
  2. 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.
  3. 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.)
  4. 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.)
  5. MINOR: NumXL clears any messages posted to Excel's status bar upon loading.
  6. 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.
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