GARCH Toolbox

garchget

Retrieve a GARCH specification structure parameter

Syntax

• ParameterValue = garchget(Spec, 'ParameterName')
  

Arguments

Spec	GARCH specification structure containing the orders, and coefficients, as well as the optimization constraints of the conditional mean and variance specifications of a GARCH model. You can create a GARCH specification structure as the output (Spec) of the companion function garchset, or the output (Coeff) of the estimation function garchfit.
ParameterName	String indicating the name of the parameter whose value garchget extracts from Spec. You can specify only sufficient leading characters to uniquely identify the parameter. See garchset for a list of valid parameter names. ParameterName is case insensitive.

Description

ParameterValue = garchget(Spec, 'ParameterName') provides the preferred user-interface for retrieveing a model parameter from a GARCH specification structure.

ParameterValue

Value of the named parameter, ParameterName, extracted from the structure Spec. ParameterValue = [] if the parameter has no value.

Example

• Spec = garchset('P',1,'Q',1)  % Create a GARCH(P=1, Q=1) model.
  Spec = 
  
           Comment: 'Mean: ARMAX(0,0,?); Variance: GARCH(1,1)'
                 R: 0
                 M: 0
                 P: 1
                 Q: 1
      Distribution: 'Gaussian'
                 C: []
                AR: []
                MA: []
           Regress: []
                 K: []
             GARCH: []
              ARCH: []
              FixC: []
             FixAR: []
             FixMA: []
        FixRegress: []
              FixK: []
          FixGARCH: []
           FixARCH: []
      Optimization: [1x1 struct] 
  
  P = garchget(Spec,'P')              % Extract the order P.
  
  P =
       1
  

See Also
garchfit, garchpred, garchset, garchsim

optimget, optimset (in the online MATLAB Function Reference)

garchfit

garchinfer