GARCH Toolbox

Purpose of the Specification Structure

Situations may arise in which you need more direct control of the analysis than is provided by the default model,

(See Analysis and Estimation Example Using the Default Model.) For example, you may want to estimate the parameters of more elaborate conditional mean or variance models, perform Monte Carlo simulation, perform what-if analyses, or forecast time series.

The GARCH Toolbox maintains the parameters that define a model in a GARCH specification structure. In the default model example, garchfit creates the specification structure, coeff, and stores the model orders and estimated parameters of the default model in it. For more complex models, however, such as those required for the tasks listed above, you must specify the necessary parameters and store them in a specification structure.

The specification structure, coeff (from the default model example) represents the following default model estimated by garchfit.

Contents of the Specification Structure shows the specification structure for the default model.

The GARCH Specification Structure

Contents of the Specification Structure