How to store output from repeated AR-GARCH estimation in a for loop

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Obaidur Rehman 2017-9-7

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https://ww2.mathworks.cn/matlabcentral/answers/355633-how-to-store-output-from-repeated-ar-garch-estimation-in-a-for-loop

Hi Guys,

I am fairly new to Matlab. I am struggling to figure out a way to save the output from an ARIMA estimation for multiple series. I have browsed the forums for possible hints, but I am unable to see the light. Following is the command I am trying to run

 Mdl = arima('ARLags',1,'D',1,'Variance',garch(1,1));
 for i = 1:11
    estimate(Mdl,Yields(:,i))
 end

As you can see, I am basically estimating an AR(1) model for the mean equation, and GARCH(1,1) model for the variance equation. My data consists of bond yields for 11 different countries. Ideally, I would like to store the coefficient estimates for the AR(1) and GARCH(1,1) for all series along with the respective residuals and variance estimates. I would really appreciate if anyone can help me figure out an efficient way to perform this.

Thanks!