www.gusucode.com > econ 案例源码程序 matlab代码 > econ/GARCHModelwithatInnovationDistributionExample.m
%% Specify GARCH Model with t Innovation Distribution % This example shows how to specify a GARCH model with a Student's t innovation % distribution. % 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 % % $$\sigma _t^2 = \kappa + {\gamma _1}\sigma _{t - 1}^2 + {\alpha _1}\varepsilon _{t - 1}^2.$$ % % Assume $z_{t}$ follows a Student's t innovation distribution with eight % degrees of freedom. tdist = struct('Name','t','DoF',8); Mdl = garch('Offset',NaN,'GARCHLags',1,'ARCHLags',1,... 'Distribution',tdist) %% % The value of |Distribution| is a |struct| array with field |Name| equal % to |'t'| and field |DoF| equal to |8|. When you specify the degrees of % freedom, they aren't estimated if you input the model to |estimate|.