Forecasting GARCH off of an Arima Model
6 次查看(过去 30 天)
显示 更早的评论
Hello! I am trying to do a garch model off of a preexsisting arima model. I know how to do them seperatly, but I am unsure how to save my arima in a way that I could reuse it when modeling garch. I am using the econometric modeler app.
0 个评论
回答(1 个)
azim
2020-6-8
hi,
i dont know if this helps but do you mean that you want to estimate a conditional mean and variance model. for eg. something like this:
VarMdl = garch(1,1)
Mdl = arima('ARLags',1,'Variance',VarMdl)
EstMdl = estimate(Mdl,r);
if yes you can read it on the link:
mathworks.com/help/econ/fit-a-composite-conditional-mean-and-variance-model-to-nasdaq-returns.html
hope this helps.
0 个评论
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Conditional Variance Models 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!