How to get GARCH parameters into a vector

2013 4 8
1 个回答
更新时间：2014 3 30
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My question is fairly simply but i havent been able to find a solultion, how do i automatically save my GARCH model parameter estimates ?
I am using the econometrics toolbox and code similar to
model = garch(0,9);
fit = estimate(model,data);
Because i have to estimate the model 1000 times day after day i figure i could speed up the computation by given the previous days estimates as initial guesses. But how do i get these into a vector ?
Thanks!

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回答（1 个）

Hang Qian
Hang Qian 2014-3-30

0 个投票

To save the GARCH estimator as a vector, add a line to the above codes:
estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)];

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