GARCH model variance calculation
信息
此问题已关闭。 请重新打开它进行编辑或回答。
显示 更早的评论
I have a financial return series, i would like to estimate volatitlity through a GARCH(1,1), my task is not to correct heteroskedasticty in residuals; but only to estimate volatility, i used command garch('Offset','NaN','GARCHLags',1,'ARCHLags',1).I used the equation variance=constant+GARCH coef*variance(-1)+ARCHcoef-r²(-1). This is a right way to do it?
0 个评论
回答（0 个）
此问题已关闭。
2018-2-16
关闭：
2021-8-20
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
