ARMA model from GARCH toolbox using Matlab

shilp1 · April 13th, 2005, 3:00 am

Hello folksI am trying to learn GARCH model USING MATLAB. I have learned that we can find ARMA model using the GARCH tool box in Matlab. But I could not figure out how. Can some one help me please??Thank you in advanceShilText

heikoscha · April 13th, 2005, 7:01 am

Hope this is relevant for you:If you want for example to specify a ARMA model of order 1 / 1 you proceed as follows:spec = garchset('M',1,'R',1);[coeff,errors] = garchfit(spec,a2) %a2 contains the log-returns of the series you want to calibrate)[eSim,sSim,ySim] = garchsim(coeff,horizon,nPaths) % simulates the series nPaths times with a tick nuber specified with the horizonHope this helpsHeiko