Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

1 回表示 (過去 30 日間)
jyoti Rao
jyoti Rao 2014 年 6 月 6 日
回答済み: Hang Qian 2014 年 6 月 14 日
Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

サインインしてこの質問に回答する。

回答 (1 件)

Hang Qian
Hang Qian 2014 年 6 月 14 日
I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model object, say egarch.

カテゴリ

Help Center および File Exchange で Conditional Mean Models についてさらに検索

タグ

製品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by