How to use for loop GARCH simulation?

Adhish Aggarwal

2018 2 25

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6 次查看（30 天）

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I am trying to simulate GARCH volatility on rolling 90 basis and using that to predict the value.

     numOb = 1;
      numPath = 500;
      price = fts2mat(w); % data
        a = zeros(300,2);
        ret = tick2ret(price);
        for a2 = 91:374 
            ToEstMdl = garch(1,1);
            estmdl = estimate(ToEstMdl,ret(a2-90:a2));
            [~,d] = simulate(estmdl,numOb,'NumPaths',numPath);
            a(a2,1) = prctile(w(a2)*(1+3*d),0.2);
            a(a2,2)= prctile(w(a2)*(1-3*d),0.8);
        end