Garch residuals in matlab 2014
Mostra commenti meno recenti
In matlab 2014 the command "garchfit" has been removed. This command had an output option for the residuals, "Innovations". The main problem is that in matlab 2014 one has to use "estimate" which does not have this ouput possibility.
How can I get the residuals of my garch model?
Risposte (1)
Roger Wohlwend
il 4 Nov 2014
0 voti
There is a Matlab example that shows how to calculate the residuals. However, in a GARCH model the residuals are just the time series minus the offset.
Categorie
Scopri di più su Conditional Variance Models in Centro assistenza e File Exchange
il 3 Nov 2014
il 4 Nov 2014
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
