How can I fit IGARCH models using the Econometrics Toolbox?

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MathWorks Support Team 2009-7-14

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https://ww2.mathworks.cn/matlabcentral/answers/99296-how-can-i-fit-igarch-models-using-the-econometrics-toolbox

编辑： MathWorks Support Team 2020-6-15

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I would like to know if the Econometrics Toolbox supports IGARCH models.

I would also like to know if I can change the relationship ARCH + GARCH <1.

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Answer 1

MathWorks Support Team 2020-6-15

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https://ww2.mathworks.cn/matlabcentral/answers/99296-how-can-i-fit-igarch-models-using-the-econometrics-toolbox#answer_108643

编辑：MathWorks Support Team 2020-6-15

The ability to fit IGARCH models is currently not available in the Econometrics Toolbox.

Models with GARCH + ARCH = 1 are known as IGARCH (Integrated GARCH) models. These are considered a different "flavor" of the GARCH model than the type that the Econometrics Toolbox fits. In particular, the Econometrics Toolbox's GARCH model is designed for the case where GARCH + ARCH < 1.

One possible workaround is to check for third-party-contributions in MathWorks File Exchange or other such forums. For example, a quick online search brought up the following third-party MATLAB routines that include IGARCH model estimation:

https://github.com/bashtage/mfe-toolbox/blob/master/univariate/igarch.m

However, please note that MathWorks does not guarantee or warrant the use or content of these third-party packages. In case of any questions/issues regarding the above third-party functions, we recommend that you reach out to the respective third-party author(s).