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%% Specify GARCH Model with Mean Offset % This example shows how to specify a GARCH(_P_, _Q_) model with a mean offset. % Use name-value pair arguments to specify a model that differs from the default % model. % Copyright 2015 The MathWorks, Inc. %% % Specify a GARCH(1,1) model with a mean offset, % % $$y_t = \mu + \varepsilon_t,$$ % % where $\varepsilon_t = \sigma_t z_t$ and % % $$\sigma _t^2 = \kappa + {\gamma _1}\sigma _{t - 1}^2 + {\alpha _1}\varepsilon _{t - 1}^2.$$ % Mdl = garch('Offset',NaN,'GARCHLags',1,'ARCHLags',1) %% % The mean offset appears in the output as an additional parameter to be % estimated or otherwise specified.