How to get GARCH parameters into a vector

조회 수: 5(최근 30일)
DoVile Last Name:
DoVile Last Name: 2013년 4월 8일
답변: Hang Qian 2014년 3월 30일
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
To save the GARCH estimator as a vector, add a line to the above codes:
estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)];

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