Info
Questa domanda è chiusa. Riaprila per modificarla o per rispondere.
GARCH model variance calculation
1 visualizzazione (ultimi 30 giorni)
Mostra commenti meno recenti
I have a financial return series, i would like to estimate volatitlity through a GARCH(1,1), my task is not to correct heteroskedasticty in residuals; but only to estimate volatility, i used command garch('Offset','NaN','GARCHLags',1,'ARCHLags',1).I used the equation variance=constant+GARCH coef*variance(-1)+ARCHcoef-r²(-1). This is a right way to do it?
0 Commenti
Risposte (0)
Questa domanda è chiusa.
Vedere anche
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!