MATLAB: How to ran a GARCH model with Dumthe Variables.

karumewakarindi

arch Rt (dummy_day1 dummy_day2 dummy_day3 dummy_day4 dummy_day5), noconstant arch(1/1) garch(1/1)

i am doing a study on the day of the week effect using the GARCH(1,1)model and i was wondering if i ran it the normal way like above or i have to specify that the Days of the week are dummy variables? kindly assist.

Best Answer

kindly assist

Related Solutions

MATLAB: (G)ARCH estimation. Input series.

Hi Dmitry,

If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like

model = garch(1,1);

estimate(model, y);

Also, we can directly estimate an ARIMA model with GARCH errors, so that both the mean equation and the variable equation are estimated simultaneously. For example,

Mdl = arima(1,0,1);

Mdl.Variance = garch(1,1);

estimate(Mdl,y);

Regards,

Hang Qian

MATLAB: How to concatenate the two variables.

Sandy, you could do:

 a = {'ch1_01' 'ch1_02' 'ch2_01' 'ch2_02' 'ch3_01'};
 b = [12.2172  83.1253  32.3429  73.2126   43.3222;...
      32.2179  13.1213  42.3388  53.5127   52.1229;...
      82.2571  43.1231  52.1400  33.4129   44.3326];
 c.col = a;
 c.val = b;

To access the different components use, e.g.,

 c.col(2)
 c.val(1:2,2:3)

Best Answer

Related Solutions

MATLAB: (G)ARCH estimation. Input series.

MATLAB: How to concatenate the two variables.

Related Question