www.gusucode.com > econ 案例源码程序 matlab代码 > econ/AccessGjrModelPropertiesExample.m
%% Access GJR Model Properties % Access the properties of a |gjr| model object using dot % notation. %% % Create a |gjr| model object. % Copyright 2015 The MathWorks, Inc. Mdl = gjr(3,2) %% % Remove the second GARCH term from the model. That is, specify that the % GARCH coefficient of the second lagged conditional variance is |0|. Mdl.GARCH{2} = 0 %% % The GARCH polynomial has two unknown parameters corresponding to lags 1 % and 3. %% % Display the distribution of the disturbances. Mdl.Distribution %% % The disturbances are Gaussian with mean 0 and variance 1. %% % Specify that the underlying disturbances have a _t_ distribution with % five degrees of freedom. Mdl.Distribution = struct('Name','t','DoF',5) %% % Specify that the ARCH coefficients are 0.2 for the first lag and 0.1 for % the second lag. Mdl.ARCH = {0.2 0.1} %% % To estimate the remaining parameters, you can pass |Mdl| and your data to % estimate and use the specified parameters as equality constraints. Or, % you can specify the rest of the parameter values, and then simulate or % forecast conditional variances from the GARCH model by passing the fully % specified model to |simulate| or |forecast|, respectively.