Garch residuals in matlab 2014

조회 수: 5 (최근 30일)
Marco
Marco 2014년 11월 3일
답변: Roger Wohlwend 2014년 11월 4일
In matlab 2014 the command "garchfit" has been removed. This command had an output option for the residuals, "Innovations". The main problem is that in matlab 2014 one has to use "estimate" which does not have this ouput possibility.
How can I get the residuals of my garch model?

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답변 (1개)

Roger Wohlwend
Roger Wohlwend 2014년 11월 4일
There is a Matlab example that shows how to calculate the residuals. However, in a GARCH model the residuals are just the time series minus the offset.

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