www.gusucode.com > econ 案例源码程序 matlab代码 > econ/GJRModelwithaMeanOffsetExample.m
%% Specify GJR Model with Mean Offset % This example shows how to specify a GJR(_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 GJR(1,1) model with a mean offset, % % $$y_t = \mu + \varepsilon_t,$$ % % where $\varepsilon_t = \sigma_t z_t$ and % % $$\sigma _t^2 = \kappa + {\gamma _1}\sigma _{t - 1}^2 + {\alpha _1}\varepsilon _{t - 1}^2 + {\xi _1}I\left[ {{\varepsilon _{t - 1}} < 0} \right]\varepsilon _{t - 1}^2.$$ % Mdl = gjr('Offset',NaN,'GARCHLags',1,'ARCHLags',1,... 'LeverageLags',1) %% % The mean offset appears in the output as an additional parameter to be % estimated or otherwise specified.