Residuals of a DCC GARCH model (MFE Toolbox)

37 ビュー (過去 30 日間)
Jzbucki
Jzbucki 2015 年 8 月 7 日
コメント済み: Walter Roberson 2019 年 8 月 31 日
Hi guys,
I'm having a small problem obtaining the residuals from the DCC GARCH model I'm trying to estimate. I'm using the dcc.m function from the MFE toolbox and the function takes a matrix of zero mean residuals as the input (that is why i demean the simulated returns in the code below). However, I am wondering is it possible to obtain the post-estimation residuals? I am pretty certain it is possible in R using residuals() on a dcc.fit object from the rmgarch package. Is something like that possible in Matlab as well?
I'm including a piece of reproducible code:
Mdl = garch('Constant',0.01,'GARCH',0.7,'ARCH',0.25)
rng default;
sims=zeros(500,5);
for i= 1:5
[Vn,Yn] = simulate(Mdl,500);
sims(:,i)=Vn-mean(Vn);
end
[parameters, ll ,Ht, VCV, scores, diagnostics]=dcc(sims,[],1,0,1,1,0,1,2,'2-stage','None',[],[]);
I know the simulation is not perfect and well optimized, but I just needed to create some sample data :) I would be grateful for any help regarding the matter!
  1 件のコメント
Jzbucki
Jzbucki 2015 年 8 月 12 日
I would be really grateful for any help :)

サインインしてコメントする。

回答 (1 件)

RP
RP 2018 年 1 月 13 日
Hi,
I am using matlab 2017 version. I have 1 query that is MFE-toolbox additionally installed in matlab 2017 version?
Please suggest.
  1 件のコメント
Walter Roberson
Walter Roberson 2019 年 8 月 31 日
The MFE Toolbox appears to be third-party; https://www.kevinsheppard.com/MFE_Toolbox

サインインしてコメントする。

カテゴリ

Help Center および File ExchangeConditional Variance Models についてさらに検索

Community Treasure Hunt

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

Start Hunting!

Translated by