Maximum Likelihood estimation of GJR - Offset estimate

2 ビュー (過去 30 日間)
Irina
Irina 2018 年 6 月 19 日
I'm fitting GJR conditional variance model to time series of returns using Maximum Likelihood estimation. Is there a way to obtain ML estimate of series mean? Offset parameter doesn't appear in the estimates even when I specify initial value of Offset as a series mean (see code below).
Thank you!
Code:
mu = mean(y); Mdl = gjr(1, 1); [EstMdl, EstParamCov, logL, info] = estimate(Mdl, y(2:end), 'E0', y(1), 'Offset0', mu);
Output:
>> EstMdl
EstMdl =
GJR(1,1) Conditional Variance Model:
--------------------------------------
Distribution: Name = 'Gaussian'
P: 1
Q: 1
Constant: 2e-07
GARCH: {0.569897} at Lags [1]
ARCH: {0.162344} at Lags [1]
Leverage: {-0.162344} at Lags [1]

回答 (0 件)

カテゴリ

Help Center および File ExchangeConditional Mean 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