Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

15 Ansichten (letzte 30 Tage)
jyoti Rao
jyoti Rao am 6 Jun. 2014
Beantwortet: Hang Qian am 14 Jun. 2014
Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

Melden Sie sich an, um diese Frage zu beantworten.

Antworten (1)

Hang Qian
Hang Qian am 14 Jun. 2014
I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model object, say egarch.

Kategorien

Mehr zu EGARCH Model finden Sie in Help Center und File Exchange

Tags

Produkte

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by