www.gusucode.com > econ 案例源码程序 matlab代码 > econ/GARCHModelwithaMeanOffsetExample.m

    %% 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.