www.gusucode.com > econ 案例源码程序 matlab代码 > econ/CreateAGJRModelWithKnownCoefficientsExample.m
%% Create GJR Model with Known Coefficients % Create a GJR(1,1) model with mean offset % % $${y_t} = 0.5 + {\varepsilon _t},$$ % % where ${\varepsilon _t} = {\sigma _t}{z_t},$ % % $$\sigma _t^2 = 0.0001 + 0.35\sigma _{t - 1}^2 + % 0.1\varepsilon^2_{t - 1} + % 0.03\varepsilon^2_{t-1}I(\varepsilon_{t-1}<0) + % 0.01\varepsilon^2_{t-3}I(\varepsilon_{t-3}<0),$$ % % and $z_{t}$ is an independent and identically distributed standard Gaussian % process. % Copyright 2015 The MathWorks, Inc. %% Mdl = gjr('Constant',0.0001,'GARCH',0.35,... 'ARCH',0.1,'Offset',0.5,'Leverage',{0.03 0 0.01}) %% % |gjr| assigns default values to any properties you do not specify with % name-value pair arguments. An alternative way to specify the leverage % component is |'Leverage',{0.03 0.01},'LeverageLags',[1 3]|.