conditional mean and variance-co-variance matrix
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I have 9 time series R, which is N*9 matrix. i would like to get conditional mean and variance for these time series. how can i write the code in matlab Under two different models? one is AR and GARCH, and another one is EWMA. i also need conditional variance-Covariance matrix, how to write the code under both of models.
thanks
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Adam Hug
2015 年 6 月 30 日
For the AR model, you can call the "estimate" function to generate an ARIMA/GARCH model object as well as the conditional variance-covariance matrix:
http://www.mathworks.com/help/econ/arima.estimate.html http://www.mathworks.com/help/econ/cvm.estimate.html
For an EWMA model, MATLAB has no builtin functionality that supports this. However, there are a few file exchange submissions that may help:
http://www.mathworks.com/matlabcentral/fileexchange/6503-covariance-tools-1-0a http://www.mathworks.com/matlabcentral/fileexchange/38302-kalman-filter-package
Both of these submissions contain tools for deriving the covariance matrix of an EWMA model.
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