Simulate GARCH(1,1)

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Julian Wzorek 2021-1-16

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/718750-simulate-garch-1-1

评论： Nagasai Bharat 2021-1-22

Hello,

I'm trying to simulate GARCH model, but my code doesn't work properly. It stops at some point and the values are the same.

 clear;
clc;
parameters=zeros(1,3);
%Parametry
parameters(1,1)=0.2;
parameters(1,2)=0.7;
 parameters(1,3)=0.3*(1-(parameters(1,1)+parameters(1,2)));
results=zeros(1000,2);
results(1,1)=1
results(1,2)=1
        for i=2:1000
      randn('seed',11);
      results(i,2) = parameters(1,3)+parameters(1,1)*(results(i-1,1))^2+parameters(1,2)*results(i-1,2);
      results(i,1)=randn*sqrt(results(i,2));
          end