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econometric tool box surprise

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jenka
jenka 2016-12-29
评论： jenka 2016-12-29
Hi everybody, so I have not touched this code in few years but I am currently looking at it and it appears that some functionality was removed. I have the following code. I garchfit is not longer in that tool. However, I am not sure how to "reproduce" this code with the current version of econometric toolbox. Probably should be super easy. Anybody? if true
Z = zeros(MaxAR + 1,MaxMA+1);
for MA = 0: MaxMA
for AR = 0: MaxAR
i = AR + 1;
j = MA + 1;
spec = garchset('R', AR, 'M', MA, 'P', 0, 'Q', 0);
[Coeff,~,LLF,~,~,~] = garchfit(spec,StationaryInput);
Parameters = garchcount(Coef);
[~,BIC] = aicbic(LLF,Parameters,row1);
Z(i,j) = BIC;
end
end
clear AR MA spec Coeff LLF AIC CSize i j row1
[row,column] = find(ismember(Z, min(min(Z),[],2)));
ARp = row - 1;
MAq = column - 1;
spec = garchset('R',ARp,'M',MAq,'P',0,'Q',0);
[FinalCoeff,FinalErrors,~,FinalInnovations,~,FinalSummary] = garchfit(spec,StationaryInput);
garchdisp(FinalCoeff, FinalErrors)
RSquared = 1 - corr(StationaryInput,FinalInnovations)

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回答（1 个）

John D'Errico
John D'Errico 2016-12-29
编辑：John D'Errico 2016-12-29
As far as I can see, garchfit (and garchset, garchcount, garchdisp, etc.) are not in that toolbox. I would guess that it never was, but that you used codes from here instead:
http://radio.feld.cvut.cz/matlab/toolbox/garch/garchfit.html
The econometrics TB does have garch tools in it.

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