www.gusucode.com > econ 案例源码程序 matlab代码 > econ/SimulateandFilter3Example.m
%% Simulate and Filter % This example illustrates the relationship between |simulate| and |filter|. % Copyright 2015 The MathWorks, Inc. %% % Specify a GJR(1,1) model with Gaussian innovations. model = gjr('Constant',0.005,'GARCH',0.8,'ARCH',0.1,... 'Leverage',0.05); %% % Simulate the model via Monte Carlo simulation. Then, standardize the simulated % innovations and filter. rng(1); % For reproducibility [v,e] = simulate(model,100,'E0',0,'V0',0.05); Z = e./sqrt(v); [V,E] = filter(model,Z,'Z0',0,'V0',0.05); %% % Confirm that the outputs of |simulate| and |filter| are identical. isequal(v,V) %% % The logical value |1| confirms the two outputs are identical.