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MIDAS Matlab Toolbox
Repack of Mi(xed) Da(ta) S(ampling) regressions (MIDAS) written by Eric Ghysels and collaborators
5年弱 前 | ダウンロード 24 件 |
回答済み
time series with rolling returns using periodicreturns
Yes, you can use these returns for time series model estimation (arima, arima-garch etc) and forecasting. If the daily return is...
time series with rolling returns using periodicreturns
Yes, you can use these returns for time series model estimation (arima, arima-garch etc) and forecasting. If the daily return is...
約7年 前 | 1
| 採用済み
回答済み
Econometrics Toolbox Cross Correlation, how to use?
Hi Mehmet, If your time series is sorted from newest to oldest, the first thing that you may want to do is to revert the orde...
Econometrics Toolbox Cross Correlation, how to use?
Hi Mehmet, If your time series is sorted from newest to oldest, the first thing that you may want to do is to revert the orde...
7年以上 前 | 0
| 採用済み
回答済み
(G)ARCH estimation. Input series.
Hi Dmitry, If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like ...
(G)ARCH estimation. Input series.
Hi Dmitry, If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like ...
7年以上 前 | 0
| 採用済み
回答済み
How to decide the stationary about time series.
Hi Hong, As the name suggests, ADF is Dickey-Fuller test augmented by lagged regressors. The default value of MATLAB function...
How to decide the stationary about time series.
Hi Hong, As the name suggests, ADF is Dickey-Fuller test augmented by lagged regressors. The default value of MATLAB function...
7年以上 前 | 1
回答済み
Correct fmincon() constraints for GARCH?
Hi Michael, Typically we add some inequality constraints to ensure a positive conditional variance in the GARCH(1,1) model, l...
Correct fmincon() constraints for GARCH?
Hi Michael, Typically we add some inequality constraints to ensure a positive conditional variance in the GARCH(1,1) model, l...
8年弱 前 | 0
回答済み
Error using garch/validateModel; Non-zero degree P requires a non-zero degree Q.
There is a work-around: *set the optimization algorithm as interior-point so that Q will not be exactly zero.* options = opt...
Error using garch/validateModel; Non-zero degree P requires a non-zero degree Q.
There is a work-around: *set the optimization algorithm as interior-point so that Q will not be exactly zero.* options = opt...
約8年 前 | 0
回答済み
Handling with an Error caused by using GARCH(1,1) in Matlab
Hi Manuel, The error message “Non-zero degree P requires a non-zero degree Q” basically says that the conditional volatility ...
Handling with an Error caused by using GARCH(1,1) in Matlab
Hi Manuel, The error message “Non-zero degree P requires a non-zero degree Q” basically says that the conditional volatility ...
約8年 前 | 0
回答済み
augmented dickey fuller Matlab
Hi Jan, Yes, ADFTEST without augmentation is the standard Dickey-Fuller test, where Y(t) = c + phi * Y(t-1) + noise, H0...
augmented dickey fuller Matlab
Hi Jan, Yes, ADFTEST without augmentation is the standard Dickey-Fuller test, where Y(t) = c + phi * Y(t-1) + noise, H0...
8年以上 前 | 2
回答済み
Matlab arima estimate error
I guess that the lower bound constraints become effective under some model specifications. When the estimated model has a reduce...
Matlab arima estimate error
I guess that the lower bound constraints become effective under some model specifications. When the estimated model has a reduce...
8年以上 前 | 0
回答済み
VMA(1) estimation
Hi Wei, In many cases, the VMA coefficients cannot be reliably estimated, unless there is a large sample with high quality da...
VMA(1) estimation
Hi Wei, In many cases, the VMA coefficients cannot be reliably estimated, unless there is a large sample with high quality da...
8年以上 前 | 0
| 採用済み
回答済み
new Garch fit function
Hi Muhamed, The new GARCH fit function is called “estimate”, which uses data to estimate the unknown parameters in the GARCH ...
new Garch fit function
Hi Muhamed, The new GARCH fit function is called “estimate”, which uses data to estimate the unknown parameters in the GARCH ...
8年以上 前 | 0
回答済み
hac function: pvalues or confidence intervals
Hi Fregior, Yes, the point estimator returned by HAC is the same as the OLS estimator. HAC returns the covariance matrix E...
hac function: pvalues or confidence intervals
Hi Fregior, Yes, the point estimator returned by HAC is the same as the OLS estimator. HAC returns the covariance matrix E...
8年以上 前 | 0
| 採用済み
回答済み
How do I compute bootstrap confidence interval for a VAR impulse response function?
Hi Samuel, To bootstrap the confidence interval, simulate VAR coefficients using the VAR point estimator and its covariance m...
How do I compute bootstrap confidence interval for a VAR impulse response function?
Hi Samuel, To bootstrap the confidence interval, simulate VAR coefficients using the VAR point estimator and its covariance m...
8年以上 前 | 0
回答済み
What are the differences in implementation of ARIMA models (estimate and forecast) in R2015b vs R2017a
Hi Jonas, ARIMA model is estimated by maximum likelihood, which requires numeric maximization using the Optimization Toolbox. T...
What are the differences in implementation of ARIMA models (estimate and forecast) in R2015b vs R2017a
Hi Jonas, ARIMA model is estimated by maximum likelihood, which requires numeric maximization using the Optimization Toolbox. T...
8年以上 前 | 0
回答済み
hac results vary bewteen MATLAB R2015b and MATLAB R2016b
Hi Lucia, Thank you for reporting this edge case. The codes work on my Windows computer both in R2016a and R2016b. The res...
hac results vary bewteen MATLAB R2015b and MATLAB R2016b
Hi Lucia, Thank you for reporting this edge case. The codes work on my Windows computer both in R2016a and R2016b. The res...
9年弱 前 | 0
回答済み
Question about GARCH forecast command
Hello - In GARCH models, the input argument ‘numPeriods’ represents forecast horizon, say the conditional volatility for y(t...
Question about GARCH forecast command
Hello - In GARCH models, the input argument ‘numPeriods’ represents forecast horizon, say the conditional volatility for y(t...
約9年 前 | 0
回答済み
How to subtract two matrices of character type arrays?
You may consider row-wise comparison (possibly in a FOR loop) setxor({'a','b','c','d','e'},{'a','b'}) setxor({'a','b','c',...
How to subtract two matrices of character type arrays?
You may consider row-wise comparison (possibly in a FOR loop) setxor({'a','b','c','d','e'},{'a','b'}) setxor({'a','b','c',...
約9年 前 | 0
| 採用済み
回答済み
panel ols with unbalanced data
Hi Alberto, For an unbalanced panel data set, one may consider padding NaNs in the response variables for those cross-section...
panel ols with unbalanced data
Hi Alberto, For an unbalanced panel data set, one may consider padding NaNs in the response variables for those cross-section...
9年以上 前 | 1
| 採用済み
回答済み
converting garchsim with simulate or filter
Hello Sandro, GARCHSIM has been retired and is no longer available in the Econometrics Toolbox. One way to recover "preRe...
converting garchsim with simulate or filter
Hello Sandro, GARCHSIM has been retired and is no longer available in the Econometrics Toolbox. One way to recover "preRe...
9年以上 前 | 0
回答済み
arima object failed to initialize.
The properties of the ARIMA object can be reset by users. These codes should work. If not, the function might be corrupted. For ...
arima object failed to initialize.
The properties of the ARIMA object can be reset by users. These codes should work. If not, the function might be corrupted. For ...
9年以上 前 | 0
回答済み
using"filter" - error message for inputs 'Y0'
The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I ...
using"filter" - error message for inputs 'Y0'
The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I ...
9年以上 前 | 0
回答済み
How to estimate NAIRU in a state space model of the econometrics toolbox
It seems that the constructed SSM is not exactly the same as the one described in the equations. Usually C and D is a low-dimens...
How to estimate NAIRU in a state space model of the econometrics toolbox
It seems that the constructed SSM is not exactly the same as the one described in the equations. Usually C and D is a low-dimens...
9年以上 前 | 0
回答済み
How to avoid GARCH estimation model to show output in the command window?
Hi Haoqing, To suppress display, we can add a name-value pair 'Display', say EstMdlGARCH_i=estimate(Mdl,r(i:i+843),'Displa...
How to avoid GARCH estimation model to show output in the command window?
Hi Haoqing, To suppress display, we can add a name-value pair 'Display', say EstMdlGARCH_i=estimate(Mdl,r(i:i+843),'Displa...
9年以上 前 | 6
回答済み
Seemingly Unrelated Regressions (SUR) with equivalent of the White or Newey-West covariance matrix?
Hi Ilona, Suppose that we have a SUR with n equations and T periods. First, estimate a SUR system using the function VGXVA...
Seemingly Unrelated Regressions (SUR) with equivalent of the White or Newey-West covariance matrix?
Hi Ilona, Suppose that we have a SUR with n equations and T periods. First, estimate a SUR system using the function VGXVA...
9年以上 前 | 0
回答済み
Time Series Forecasting after taking first differences
Hi shackelferd, Time series regression of non-stationary, but not cointegrated, data may suffer from the “spurious regressio...
Time Series Forecasting after taking first differences
Hi shackelferd, Time series regression of non-stationary, but not cointegrated, data may suffer from the “spurious regressio...
9年以上 前 | 0
回答済み
Is it possible to triangularize the VAR system in order to orthogonalize the innovations?
Hi Richard, I think it depends on the VAR specification. If the triangularized model looks like Y(t) = A1 * Y(t-1) + A...
Is it possible to triangularize the VAR system in order to orthogonalize the innovations?
Hi Richard, I think it depends on the VAR specification. If the triangularized model looks like Y(t) = A1 * Y(t-1) + A...
9年以上 前 | 0
回答済み
Creating a block matrix of matrices?
Hello, If the FOR loop is not your choice, you may consider the following: >> A = [1 1]; >> B = [2 2]; >> C = blkdia...
Creating a block matrix of matrices?
Hello, If the FOR loop is not your choice, you may consider the following: >> A = [1 1]; >> B = [2 2]; >> C = blkdia...
9年以上 前 | 2
| 採用済み
回答済み
Estimate ARMA(1,1) using estimate: Parameter AR(1) is missing
The problem appears unusual. I tried your codes estimate(arima('ARLag',1,'MALag',1,'Constant',0),y) However, the software...
Estimate ARMA(1,1) using estimate: Parameter AR(1) is missing
The problem appears unusual. I tried your codes estimate(arima('ARLag',1,'MALag',1,'Constant',0),y) However, the software...
10年弱 前 | 0
回答済み
Detrend timeseries of conditional heteroscedasticiy using GARCH(1,1)
Hi Jannic, To remove the conditional variance from the observations, we may first estimate the model, and then we infer the c...
Detrend timeseries of conditional heteroscedasticiy using GARCH(1,1)
Hi Jannic, To remove the conditional variance from the observations, we may first estimate the model, and then we infer the c...
10年弱 前 | 1
| 採用済み
