Hi,
I understand that you want to know command similar to “ugarchroll” in MATLAB.
I don’t see a direct command for doing this in MATLAB, however this can be achieved by implementing a rolling window analysis for GARCH models.
- Split your data into overlapping windows of a fixed length.
- Iterate over each window and estimate a GARCH model using the data within that window.
- Make forecasts using the estimated GARCH model and record the results.
- Slide the window forward by one observation and repeat steps 2 and 3 until the end of the data is reached.
A loop can be implemented to create this “garch model”.
for i = 1:numWindows
% Extract the data within the current window
windowData = returns(i:i+windowSize-1);
% Estimate a GARCH model using the windowData
model = garch('GARCHLags', 1, 'ARCHLags', 1);
estModel = estimate(model, windowData);
After this the forecasts can be estimated. MATLAB's Financial Toolbox provides functions “garch”, “estimate”, and “forecast” for GARCH modelling and forecasting.
Refer to the documentations below to get more information.
