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GARCH models estimation for variance

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tilfani oussama
tilfani oussama 2018년 2월 15일
I have a return series for which i would like to estimate a GARCH(1,1) in order to get volatility accross time. I used this command :
model1 = garch('Offset',NaN,'GARCHLags',1,'ARCHLags',1); [fit1,~,LogL1] = estimate(model1,x); but i have a message error [fit1,~,LogL1] = estimate(model1,x); Warning: Lower bound constraints are active; standard errors may be inaccurate. > In garch/estimate (line 791) Estimated GARCH model is invalid.
Caused by: Error using garch/validateModel (line 782) Non-zero degree P requires a non-zero degree Q.
Can someone help me to deal with. Bests

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