fitparp function

Versione 1.5.0.0 (1,95 KB) da Ali Najjar
fitparp estimate the parameters of specified GARCH marginals models
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Aggiornato 19 lug 2011

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This function implemented by function 'copula111cGarch111VaR' and other related functions that will estimate the value at risk of portfolio.
The marginal model are GARCH(1,1),GJR(1,1),AR(1)-GARCH(1,1)and AR(1)-GJR(1,1)
the parameters and standard deviation of models will used for estimation of parameters of copula function.

Cita come

Ali Najjar (2024). fitparp function (https://www.mathworks.com/matlabcentral/fileexchange/32215-fitparp-function), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2010b
Compatibile con qualsiasi release
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Scopri di più su Conditional Variance Models in Help Center e MATLAB Answers
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Ispirato da: Dynamic Copula Toolbox 3.0

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1.5.0.0

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