How to get GARCH parameters into a vector

2 次查看(过去 30 天)
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!

回答(1 个)

Hang Qian
Hang Qian 2014-3-30
To save the GARCH estimator as a vector, add a line to the above codes:
estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)];

类别

Help CenterFile 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!

Translated by