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%% Specify EGARCH Model with Known Parameter Values % This example shows how to specify an EGARCH model with known parameter % values. You can use such a fully specified model as an input to |simulate| % or |forecast|. % Copyright 2015 The MathWorks, Inc. %% % Specify the EGARCH(1,1) model % % $$\log \sigma _t^2 = 0.1 + 0.6\log \sigma _{t - 1}^2 + 0.2\left[ {\frac{{\left| {{\varepsilon _{t - 1}}} \right|}}{{{\sigma _{t - 1}}}} - E\left\{ {\frac{{\left| {{\varepsilon _{t - 1}}} \right|}}{{{\sigma _{t - 1}}}}} \right\}} \right] - 0.1\left( {\frac{{{\varepsilon _{t - 1}}}}{{{\sigma _{t - 1}}}}} \right)$$ % % with a Gaussian innovation distribution. Mdl = egarch('Constant',0.1,'GARCH',0.6,'ARCH',0.2,... 'Leverage',-0.1) %% % Because all parameter values are specified, the created model has % no |NaN| values. The functions |simulate| and |forecast| don't accept input % models with |NaN| values.