How to store output from repeated AR-GARCH estimation in a for loop
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Hi Guys,
I am fairly new to Matlab. I am struggling to figure out a way to save the output from an ARIMA estimation for multiple series. I have browsed the forums for possible hints, but I am unable to see the light. Following is the command I am trying to run
Mdl = arima('ARLags',1,'D',1,'Variance',garch(1,1));
for i = 1:11
estimate(Mdl,Yields(:,i))
end
As you can see, I am basically estimating an AR(1) model for the mean equation, and GARCH(1,1) model for the variance equation. My data consists of bond yields for 11 different countries. Ideally, I would like to store the coefficient estimates for the AR(1) and GARCH(1,1) for all series along with the respective residuals and variance estimates. I would really appreciate if anyone can help me figure out an efficient way to perform this.
Thanks!
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