How can I create GBM/GARCH(1,1) model?

[Oleksandr]

Basically, I now how to create the equation of gbm(in Matlab for example). But what if I want to perform Monte-Carlo simulation using GBM with stochastic volatility represented by GARCH(1,1). How GBM/GARCH(1,1) SDE looks and what are peculiarities of GBM/GARCH(1,1) modelling ?

 

[Daniel Duffy]

Google

 

[Oleksandr]

I didn't find any article describing plugging GARCH into GBM. There are lots of them describing just GARCH Monte-Carlo, but no GBM/GARCH(1,1).

 

[Alexandre Chretien]

Have you ever done basic gbm parameter estimation and simulation?

Not a good idea to start with GARCH if you have never done that before.

 

[Oleksandr]

yeah, I did that before using euler- maruyama discretisation method.