www.gusucode.com > econ 案例源码程序 matlab代码 > econ/SimulateConditionalVariancesandResponsesGarchSimExample.m
%% Simulate GARCH Model Conditional Variances and Responses % Simulate conditional variance and response paths from a GARCH(1,1) model. % Copyright 2015 The MathWorks, Inc. %% % Specify a GARCH(1,1) model with known parameters. Mdl = garch('Constant',0.01,'GARCH',0.7,'ARCH',0.2); %% % Simulate 500 sample paths, each with 100 observations. rng default; % For reproducibility [V,Y] = simulate(Mdl,100,'NumPaths',500); figure subplot(2,1,1) plot(V) title('Simulated Conditional Variances') subplot(2,1,2) plot(Y) title('Simulated Responses') %% % The simulated responses look like draws from a stationary stochastic process. %% % Plot the 2.5th, 50th (median), and 97.5th percentiles of the simulated % conditional variances. lower = prctile(V,2.5,2); middle = median(V,2); upper = prctile(V,97.5,2); figure plot(1:100,lower,'r:',1:100,middle,'k',... 1:100,upper,'r:','LineWidth',2) legend('95% Interval','Median') title('Approximate 95% Intervals') %% % The intervals are asymmetric due to positivity constraints on the conditional % variance.