www.gusucode.com > econ 案例源码程序 matlab代码 > econ/FilterDisturbancesThroughGJRModelSpecifyingExample.m
%% Filter Disturbances Through GJR Model Specifying Presample Observations %% % Specify a GJR(1,2) model with Gaussian innovations. % Copyright 2015 The MathWorks, Inc. Mdl = gjr('Constant',0.005,'GARCH',0.8,'ARCH',{0.1 0.01},... 'Leverage',{0.05 0.01}); %% % Simulate 25 series of standard Gaussian observations for 102 periods. rng(1); % For reproducibility Z = randn(102,25); %% % |Z| represents 25 paths of synchronized disturbances for 102 periods. %% % Obtain 25, 100 period paths of conditional variances by filtering the % disturbance paths through the GJR(1,2) model. Specify the first two % disturbances as presample observations. V = filter(Mdl,Z(3:end,:),'Z0',Z(1:2,:)); %% % Plot the paths of conditional variances. figure; plot(V); title('Conditional Variance Paths'); xlabel('Periods');