External regressors in the volatility process of a GARCH.

7 次查看（过去 30 天）
Davide
Davide 2014-6-23
回答： Shashank Prasanna 2014-6-23
How do I estimate a GARCH model with external regressors in the conditional variance process?

请先登录，再回答此问题。

回答（1 个）

Shashank Prasanna
Shashank Prasanna 2014-6-23
You can include exogenous inputs to the arima model (arimax) with a garch variance model:
mdl = arima('AR',0.2,'D',1,'MA',0.3,'Beta',0.5,'Variance',garch(1,1))
Exogenous variables for garch model in not supported as far as I know.

类别

在 Help Center 和 File Exchange 中查找有关 Conditional Variance Models 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by