External regressors in the volatility process of a GARCH.

4 visualizzazioni (ultimi 30 giorni)
Davide
Davide il 23 Giu 2014
Risposto: Shashank Prasanna il 23 Giu 2014
How do I estimate a GARCH model with external regressors in the conditional variance process?

Accedi per rispondere a questa domanda.

Risposte (1)

Shashank Prasanna
Shashank Prasanna il 23 Giu 2014
You can include exogenous inputs to the arima model (arimax) with a garch variance model:
mdl = arima('AR',0.2,'D',1,'MA',0.3,'Beta',0.5,'Variance',garch(1,1))
Exogenous variables for garch model in not supported as far as I know.

Categorie

Scopri di più su Conditional Variance Models in Help Center e File Exchange

Tag

Prodotti

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by