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');