Maximum Likelihood estimation of GJR - Offset estimate

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Irina
Irina 2018-6-19
I'm fitting GJR conditional variance model to time series of returns using Maximum Likelihood estimation. Is there a way to obtain ML estimate of series mean? Offset parameter doesn't appear in the estimates even when I specify initial value of Offset as a series mean (see code below).
Thank you!
Code:
mu = mean(y); Mdl = gjr(1, 1); [EstMdl, EstParamCov, logL, info] = estimate(Mdl, y(2:end), 'E0', y(1), 'Offset0', mu);
Output:
>> EstMdl
EstMdl =
GJR(1,1) Conditional Variance Model:
--------------------------------------
Distribution: Name = 'Gaussian'
P: 1
Q: 1
Constant: 2e-07
GARCH: {0.569897} at Lags [1]
ARCH: {0.162344} at Lags [1]
Leverage: {-0.162344} at Lags [1]

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