code for garch-in-mean matlab

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Rui Ascenso
Rui Ascenso 2014-8-25
评论： Tyson 2023-4-27
I need to estimate garch-in-mean with Garch(1,1) to get the estimated parameters. I have a series of returns, y, and so my 2 equations would be:
(1) Y_t+1 = a + b*Var_t(Y_t+1) + e_t+1;
(2) Var_t(Y_t+1) = w + alpha*((e_t)^2) + beta*Var_t-1(Y_t);
where:
Y is a series of returns, Var is the conditional variance of the returns, e are the residuals, a, b, w, alpha, and beta the parameters I want to estimate, and _t+1 or _t-1 are the subscripts to indicate the moment in time.
Does anyone know how to do it? I'm really lost here...
Thanks in advance.
Best, Rui
  1 个评论
Tyson
Tyson 2023-4-27
Did anyone figure this out. I am hoping to add arch-M effects.

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