清空筛选条件
清空筛选条件

Info

此问题已关闭。 请重新打开它进行编辑或回答。

GARCH model variance calculation

1 次查看（过去 30 天）
tilfani oussama
tilfani oussama 2018-2-16
关闭： MATLAB Answer Bot 2021-8-20
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?

此问题已关闭。

回答（0 个）

此问题已关闭。

标签

Community Treasure Hunt

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

Start Hunting!

Translated by