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

    %% Specify GJR Model with Nonconsecutive Lags  
% This example shows how to specify a GJR model with nonzero coefficients
% at nonconsecutive lags.   

% Copyright 2015 The MathWorks, Inc.


%% 
% Specify a GJR(3,1) model with nonzero GARCH terms at lags 1 and 3. Include
% a mean offset. 
Mdl = gjr('Offset',NaN,'GARCHLags',[1,3],'ARCHLags',1,...
    'LeverageLags',1) 

%%
% The unknown nonzero GARCH coefficients correspond to lagged variances
% at lags 1 and 3. The output shows only the nonzero coefficients.  

%% 
% Display the value of |GARCH|: 
Mdl.GARCH 

%%
% The |GARCH| cell array returns three elements. The first and third elements
% have value |NaN|, indicating these coefficients are nonzero and need to
% be estimated or otherwise specified. By default, |gjr| sets the interim
% coefficient at lag 2 equal to zero to maintain consistency with MATLAB(R)
% cell array indexing.