Hello Marta,
The garch model can be applied to panel data, provided that the data for each panel is considered as an individual time series.
To apply the garch model to each set of panel data, one should loop through each one. Within this loop, include the following steps:
- Define the garch model. Below is an example of how to do this:
mdl = garch('GARCHLags',1,'ARCHLags',1);
- Obtain estimations from the model.
[estMdl, estParamCov, logL, info] = estimate(mdl, panelData);
For further details on the garch model, consult the following documentation:
