www.gusucode.com > econ 案例源码程序 matlab代码 > econ/DefaultGJRModelVMExample.m
%% Specify Default GJR Model % This example shows how to use the shorthand |gjr(P,Q)| syntax to specify % the default GJR(_P_, _Q_) model, $\varepsilon_t = \sigma_t z_t$ % with a Gaussian innovation distribution and % % $$\sigma _t^2 = \kappa + \sum\limits_{i = 1}^P {{\gamma _i}\sigma _{t - i}^2} + \sum\limits_{j = 1}^Q {{\alpha _j}} \varepsilon _{t - j}^2 + \sum\limits_{j = 1}^Q {{\xi _j}} I\left[ {{\varepsilon _{t - j}} < 0} \right]\varepsilon _{t - j}^2.$$ % % By default, all parameters in the created model have unknown values. % Copyright 2015 The MathWorks, Inc. %% % Specify the default GJR(1,1) model: Mdl = gjr(1,1) %% % The output shows that the created model, |Mdl|, has |NaN| values for % all model parameters: the constant term, the GARCH coefficient, the ARCH % coefficient, and the leverage coefficient. You can modify the created % model using dot notation, or input it (along with data) to |estimate|.