www.gusucode.com > econ 案例源码程序 matlab代码 > econ/CreateAGarchModelObjectExample.m
%% Create GARCH Model Using Shorthand Syntax % Create a |garch| model using the shorthand notation |garch(P,Q)|, % where |P| is the degree of the GARCH polynomial and |Q| is % the degree of the ARCH polynomial. %% % Create a GARCH(3,2) model. % Copyright 2015 The MathWorks, Inc. Mdl = garch(3,2) %% % |Mdl| is a |garch| model object. All properties of |Mdl|, except |P|, % |Q|, and |Distribution|, are |NaN| values. By default, the software: % % * Includes a conditional variance model constant % * Excludes a conditional mean model offset (i.e., the offset is |0|) % * Includes all lag terms in the ARCH and GARCH lag-operator polynomials up % to lags |Q| and |P|, respectively %% % |Mdl| specifies only the functional form of a GARCH model. Because it % contains unknown parameter values, you can pass |Mdl| and the time-series data to |estimate| % to estimate the parameters.