MATLAB: Please expalin the error

estimationtime series

Hi,
I am using the following code to estimate parameters of an ARCH(1) model.
However, I am getting the given error.
Is there any way to correct it please?
    Code:
    clc;
  clear;
p=1;
T = 1000;
a0 = 0.1; a1 = 0.4; 
ra = zeros(T+2000,1);
seed=123;
rng(seed);
%ra = randn(T+2000,1); 
 ra = trnd(5,T+2000,1); 
epsi=zeros(T+2000,1);
simsig=zeros(T+2000,1);
unvar = a0/(1-a1);
for i = 1:T+2000
                 if (i==1) 
                     simsig(i) = unvar;
                     s=(simsig(i))^0.5;
                     epsi(i) = ra(i) * s;
                   else                     
                       simsig(i) = a0+ a1*(epsi(i-1))^2;
                       s=(simsig(i))^0.5;
                       epsi(i) = ra(i)* s;
                   end
  end
epsi2 = epsi.^2;
yt = epsi2(2001:T+2000);
model = arima(1,0,0);
model.Constant = 0 ;
fit = estimate( model,yt);
    Error:
    Undefined function 'arima' for input arguments of type 'double'.
    Error in test (line 41)
    model = arima(1,0,0);

Best Answer

  1. you might not have the econ toolbox installed
  2. you might not have the econ toolbox licensed
  3. you might be using a version of MATLAB older than when the arima function was first implemented
  4. you might have a broken MATLAB path that does not include the econ toolbox
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