How to get the historical GARCH Variance

Question

Imner Renmi 2016-2-8

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/267215-how-to-get-the-historical-garch-variance

回答： Imner Renmi 2016-2-9

When one constructs forecasts with a GJR-GARCH model, the output matlab gives is the variance forecast (i.e. $\sigma^2_{t+1}$).

How can one extract the corresponding $\sigma^2_t$ (i.e. the historical variance) of the GJR-GARCH model?

For a standard GARCH model one could do this using the ugarchpred function (<http://nl.mathworks.com/help/finance/ugarchpred.html)>. The historical variance is the 'H' in the syntax window (see link). Unfortunately this function is not available for a GJR-GARCH and hence my question, how can I extract the historical variance?

Many thanks