Matlab code for GARCH

adamcox · September 30th, 2002, 7:28 am

Can anyone help with regards to implementing a GARCH model in matlab. Does anyone know of any initial code I may be able to study so as to become more familiar with matlab code nuiancesthanks adam cox .email me please

Jet · September 30th, 2002, 9:27 am

Look at LeSage Library available from www.spatial-econometrics.com. Search for UCSD Garch toolbox. I remember that you can see the actual code for GARCH models.Hope this helps.

adamcox · September 30th, 2002, 8:08 pm

Thanks a lot - i will look at the site for the code - much appreciated. Cheers Adam Cox