new Garch fit function

3 次查看（过去 30 天）
Muhamed Alsharman
Muhamed Alsharman 2017-7-24
回答： Hang Qian 2017-8-11
The new garch fit function is called "infer" , in the old one which is called "garchfit" the user can get [Spec, SE, ~, e, sigma, summary] as outputs, does any one knows how to get " e, sigma" in the new infer function ? thanks

请先登录，再回答此问题。

回答（1 个）

Hang Qian
Hang Qian 2017-8-11
Hi Muhamed,
The new GARCH fit function is called “estimate”, which uses data to estimate the unknown parameters in the GARCH model. The output of “estimate” is a fitted model, say EstMdl. Then we may use the “infer” function with EstMdl to extract the conditional variances V. In the old “garchfit”, the output variable sigma appears to be the conditional standard deviations. So if we take the square root, sqrt(V) should yield comparable results for sigma.
Hang Qian

类别

在 Help Center 和 File Exchange 中查找有关 Conditional Variance Models 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by