www.gusucode.com > econ 案例源码程序 matlab代码 > econ/SimulateandFilter2Example.m
%% Simulate and Filter Disturbance Path Through GARCH Model % Copyright 2015 The MathWorks, Inc. %% % Specify a GARCH(1,1) model with Gaussian innovations. Mdl = garch('Constant',0.005,'GARCH',0.8,'ARCH',0.1); %% % Simulate the model using Monte Carlo simulation. Then, standardize the % simulated innovations and filter them. rng(1); % For reproducibility [v,e] = simulate(Mdl,100,'E0',0,'V0',0.05); Z = e./sqrt(v); [V,E] = filter(Mdl,Z,'Z0',0,'V0',0.05); %% % Confirm that the outputs of |simulate| and |filter| are identical. isequal(v,V) %% % The logical value |1| confirms that the two outputs are identical.