www.gusucode.com > econ 案例源码程序 matlab代码 > econ/EstimateEGARCHModelParametersUsingPresampleDataExample.m
%% Estimate EGARCH Model Parameters Using Presample Data % Fit an EGARCH(1,1) model to the daily close NASDAQ Composite Index returns. % Copyright 2015 The MathWorks, Inc. %% % Load the NASDAQ data included with the toolbox. Convert the index to returns. load Data_EquityIdx nasdaq = DataTable.NASDAQ; y = price2ret(nasdaq); T = length(y); figure plot(y) xlim([0,T]) title('NASDAQ Returns') %% % The returns exhibit volatility clustering. %% % Specify an EGARCH(1,1) model, and fit it to the series. One presample % innovation is required to initialize this model. Use the first observation % of |y| as the necessary presample innovation. Mdl = egarch(1,1); [EstMdl,EstParamCov] = estimate(Mdl,y(2:end),'E0',y(1)) %% % The output |EstMdl| is a new |egarch| model with estimated parameters. %% % Use the output variance-covariance matrix to calculate the estimate standard % errors. se = sqrt(diag(EstParamCov)) %% % These are the standard errors shown in the estimation output display. % They correspond (in order) to the constant, GARCH coefficient, ARCH coefficient, % and leverage coefficient.