How to use for loop GARCH simulation?

1 次查看（过去 30 天）

Adhish Aggarwal 2018-2-25

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/384731-how-to-use-for-loop-garch-simulation

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