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Karl-Martin


Actif depuis 2014

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arima estimate error with garch
Allthough you did specify Q=1, the parameter can be excluded from the model. In the 'garch.m' function of the Econometrics to...

plus de 9 ans il y a | 1

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Error using garch/validateModel; Non-zero degree P requires a non-zero degree Q.
Hi Jason, I got this error in my modelling too and I suppose it happens to occur as follows: In the 'garch.m' function...

plus de 9 ans il y a | 0

Question


How to show 95% quanile in a Boxplot ?
Hi, I want to compare the forecast performance of Value at Risk (VaR) from two different models by using a boxplot. Put diffe...

presque 10 ans il y a | 1 réponse | 2

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Estimate GARCH(4,1) using estimate: Parameter GARCH{2} is missing
Nevermind, I found the solution. In the 'garch.m' function of the Econometrics toolbox it is stated: % o The coefficients...

presque 10 ans il y a | 0

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Estimate GARCH(4,1) using estimate: Parameter GARCH{2} is missing
Hi, I want to fit an AR(1) Model to a time series of returns (x) and the variance process follows a GARCH(4,1) model. mo...

presque 10 ans il y a | 1 réponse | 1

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Question


Do my Toolboxes work?
Hi, I want to fit a Conditional Variance Model, given some specified data, using: model = arima('ARLags',1,'Variance',ga...

presque 10 ans il y a | 2 réponses | 0

2

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Question


How to plot data with corresponding dates
I have a vector with data (1x9324 double) and another vector (1x9324 cell) with the corresponding dates. Both vectors are from ...

environ 10 ans il y a | 1 réponse | 0

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