econometric tool box surprise

Hi everybody, so I have not touched this code in few years but I am currently looking at it and it appears that some functionality was removed. I have the following code. I garchfit is not longer in that tool. However, I am not sure how to "reproduce" this code with the current version of econometric toolbox. Probably should be super easy. Anybody? if true

    Z = zeros(MaxAR + 1,MaxMA+1);
    for MA = 0: MaxMA
        for AR = 0: MaxAR
            i = AR + 1;
            j = MA + 1;
            spec = garchset('R', AR, 'M', MA, 'P', 0, 'Q', 0);
            [Coeff,~,LLF,~,~,~] = garchfit(spec,StationaryInput);
            Parameters = garchcount(Coef);
            [~,BIC] = aicbic(LLF,Parameters,row1);
            Z(i,j) = BIC;
        end
    end
    clear AR MA spec Coeff LLF AIC CSize i j row1
    [row,column] = find(ismember(Z, min(min(Z),[],2)));
    ARp = row - 1;
    MAq = column - 1;
    spec = garchset('R',ARp,'M',MAq,'P',0,'Q',0);
   [FinalCoeff,FinalErrors,~,FinalInnovations,~,FinalSummary] = garchfit(spec,StationaryInput);
    garchdisp(FinalCoeff, FinalErrors)
    RSquared = 1 - corr(StationaryInput,FinalInnovations)

Answer 1

[John D'Errico]

As far as I can see, garchfit (and garchset, garchcount, garchdisp, etc.) are not in that toolbox. I would guess that it never was, but that you used codes from here instead:

http://radio.feld.cvut.cz/matlab/toolbox/garch/garchfit.html

The econometrics TB does have garch tools in it.

[jenka]

I am pretty sure it was:)