GARCH Toolbox

Valid Model Specifications

The specification structure you provide as input to all functions except garchfit must contain a complete model specification. That is, the orders of the ARMA and GARCH models must agree with the lengths of their corresponding coefficient vectors. Specifically, the value of R must be the same as the length of the vector AR, and M must be the same as the length of MA. The value of P must be the same as the length of the vector GARCH, and Q must be the same as the length of ARCH.

Only garchfit can accept as input a specification structure in which some or all of the model orders (R, M, P, or Q) are greater than 0 and the coefficient vectors are empty ([]). During the estimation process, garchfit creates appropriate coefficient vectors whose lengths correspond to the specified model orders.

Contents of the Specification Structure

Accessing Specification Structures