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89578251
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Posts: 66
Joined: December 26th, 2008, 1:21 am

Urgent ARMA-GARCH Question

April 7th, 2010, 9:59 pm

I have a financial time series, and I want to fit the financial time series to ARMA(1,1) with GARCH(1,1) volatility. How could I estimate the values of the coefficients in the specified model, preferrably in Matlab? Thanks very much in advanced.
 
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msperlin
Posts: 608
Joined: July 10th, 2006, 6:21 pm

Urgent ARMA-GARCH Question

April 8th, 2010, 9:51 pm

QuoteOriginally posted by: 89578251I have a financial time series, and I want to fit the financial time series to ARMA(1,1) with GARCH(1,1) volatility. How could I estimate the values of the coefficients in the specified model, preferrably in Matlab? Thanks very much in advanced.Go to matlab and type:eval('Estimate Arma(1,1)-Garch(1,1) Model NOWWW!!!')Don't forget the caps "now", otherwise it will estimate the model in 5 minutes. If that doesn't work, then type:help('garchfit')
 
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89578251
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Posts: 66
Joined: December 26th, 2008, 1:21 am

Urgent ARMA-GARCH Question

April 9th, 2010, 4:05 am

QuoteOriginally posted by: msperlinQuoteOriginally posted by: 89578251I have a financial time series, and I want to fit the financial time series to ARMA(1,1) with GARCH(1,1) volatility. How could I estimate the values of the coefficients in the specified model, preferrably in Matlab? Thanks very much in advanced.Go to matlab and type:eval('Estimate Arma(1,1)-Garch(1,1) Model NOWWW!!!')Don't forget the caps "now", otherwise it will estimate the model in 5 minutes. If that doesn't work, then type:help('garchfit')I can't understand your command. How could you fit the model without an argument for the data?By the way I input your command into the command window in Matlab, an error appeared as stated below.??? Error using ==> evalUndefined function or method 'Estimate' for inputarguments of type 'char'.Welcome more discussion.
 
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ACD
Posts: 107
Joined: April 19th, 2004, 8:09 am

Urgent ARMA-GARCH Question

April 9th, 2010, 8:24 am

QuoteOriginally posted by: msperlinQuoteOriginally posted by: 89578251I have a financial time series, and I want to fit the financial time series to ARMA(1,1) with GARCH(1,1) volatility. How could I estimate the values of the coefficients in the specified model, preferrably in Matlab? Thanks very much in advanced.Go to matlab and type:eval('Estimate Arma(1,1)-Garch(1,1) Model NOWWW!!!')Don't forget the caps "now", otherwise it will estimate the model in 5 minutes. If that doesn't work, then type:help('garchfit')If only all programming languages had such simple to use and intuitive functions.
 
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msperlin
Posts: 608
Joined: July 10th, 2006, 6:21 pm

Urgent ARMA-GARCH Question

April 9th, 2010, 9:12 am

QuoteI can't understand your command. How could you fit the model without an argument for the data?Sorry I forgot about it.Just type:eval('Mr Matlab, x is my dependent variable. Thanks'); QuoteBy the way I input your command into the command window in Matlab, an error appeared as stated below.??? Error using ==> evalUndefined function or method 'Estimate' for inputarguments of type 'char'.Welcome more discussion. It seems you're missing the drivers for matlab's telepatic communication. But you can test it out using:while 1fprintf(1,'this %s %s %s\n','is','a','joke')end
Last edited by msperlin on April 8th, 2010, 10:00 pm, edited 1 time in total.
 
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msperlin
Posts: 608
Joined: July 10th, 2006, 6:21 pm

Urgent ARMA-GARCH Question

April 9th, 2010, 9:14 am

Jokes aside, have a look in the help files for the function garchfit. If you have never worked with matlab, I suggest for you to have a look in Eviews, which is easier to use.
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