GARCH Toolbox

Simulation and Inference Using a Regression Component

Including a regression component with garchsim and garchinfer is similar to including one with garchfit.

For example, the following command simulates a single realization of 2000 observations of the innovations, conditional standard deviations, and returns. It uses the initial MATLAB default state as a random number generator seed, and incorporates the regression matrix X.

• [e,s,y] = garchsim(spec, 2000, 1, [], X);
  

You can also use the same regression matrix X to infer the innovations and conditional standard deviations from the returns.

• [eInfer, sInfer] = garchinfer(spec, y, X);
  

Incorporating a Regression Model in an Estimation

Forecasting Using a Regression Component