help with the error

Question

dav 2013-7-3

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Hi can some one please help me correct this error:

Code:

clc;
clear;
model = garch('Constant',0.1,'GARCH',0.4,'ARCH',0.5);
rng('default')
[Vn,Yn] = simulate(model,100,'numPaths',5);

Error:

Undefined function 'garch' for input arguments of type 'char'.
Error in simm (line 4)
model = garch('Constant',0.1,'GARCH',0.4,'ARCH',0.5);

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the cyclist 2013-7-3

在 MATLAB Online 中打开

What do get if you type

which garch

?

dav 2013-7-3

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'garch' not found.

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Answer 1

Shashank Prasanna 2013-7-3

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编辑：Shashank Prasanna 2013-7-3

在 MATLAB Online 中打开

You either:

1) Don't have the Econometrics Toolbox installed. Check the output of VER:

>> ver

2) Are using a version of MATLAB older than MATLAB r2012a

Here are the release notes:

http://www.mathworks.com/help/econ/release-notes.html?searchHighlight=garch

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dav 2013-7-3

编辑：dav 2013-7-3

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Thanks.I needed it to generate an ARCH data set. I was using the following code but for some reason it doesn't give me the correct parameter estimates when I checked for them

Code:

T = 300;
a0 = 0.1; a1 = 0.4; 
ra = zeros(T+2000,1);
seed=123;
rng(seed);
%ra = randn(T+2000,1); 
ra = trnd(5,T+2000,1); 
epsi=zeros(T+2000,1);
simsig=zeros(T+2000,1);
unvar = a0/(1-a1);
for i = 1:T+2000
                 if (i==1) 
                     simsig(i) = unvar;
                     s=(simsig(i))^0.5;
                     epsi(i) = ra(i) * s;
                   else                     
                       simsig(i) = a0+ a1*(epsi(i-1))^2;
                       s=(simsig(i))^0.5;
                       epsi(i) = ra(i)* s;
                   end
  end

Is there a way to estimate the parameters of this dataset?

Thanks

Shashank Prasanna 2013-7-3

Please post a new question since this isn't related to the original question. This way you will have more eyes looking at it.

You can estimate your parameters by calling the arima estimate function part of the econometrics toolbox. If you don't have it you can try using some functions written by other in the file exchange the link to which I shared in the previous post.

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