www.gusucode.com > econ 案例源码程序 matlab代码 > econ/ForecastConditionalVariancesGarchForecastExample.m
%% Forecast GARCH Model Conditional Variances % Forecast the conditional variance of simulated data over a 30-period % horizon. % Copyright 2015 The MathWorks, Inc. %% % Simulate 100 observations from a GARCH(1,1) model with known parameters. Mdl = garch('Constant',0.02,'GARCH',0.8,'ARCH',0.1); rng default; % For reproducibility [v,y] = simulate(Mdl,100); %% % Forecast the conditional variances over a 30-period horizon, with and % without using the simulated data as presample innovations. Plot the forecasts. vF1 = forecast(Mdl,30,'Y0',y); vF2 = forecast(Mdl,30); figure plot(v,'Color',[.7,.7,.7]) hold on plot(101:130,vF1,'r','LineWidth',2); plot(101:130,vF2,':','LineWidth',2); title('Forecasted Conditional Variances') legend('Observed','Forecasts with Presamples',... 'Forecasts without Presamples','Location','NorthEast') hold off %% % Forecasts made without using presample innovations equal the unconditional % innovation variance. Forecasts made using presample innovations converge % asymptotically to the unconditional innovation variance.