How to get GARCH parameters into a vector

My question is fairly simply but i havent been able to find a solultion, how do i automatically save my GARCH model parameter estimates ?
I am using the econometrics toolbox and code similar to
model = garch(0,9);
fit = estimate(model,data);
Because i have to estimate the model 1000 times day after day i figure i could speed up the computation by given the previous days estimates as initial guesses. But how do i get these into a vector ?
Thanks!

답변 (1개)

Hang Qian
Hang Qian 2014년 3월 30일

0 개 추천

To save the GARCH estimator as a vector, add a line to the above codes:
estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)];

카테고리

도움말 센터File Exchange에서 Conditional Variance Models에 대해 자세히 알아보기

질문:

2013년 4월 8일

답변:

2014년 3월 30일

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