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Topic: Estimating GARCH model parameters for a specified model structure
Replies: 2   Last Post: Jan 31, 2013 12:31 AM

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Phil Goddard

Posts: 348
Registered: 1/27/12
Re: Estimating GARCH model parameters for a specified model structure
Posted: Jan 31, 2013 12:31 AM
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Have a look at using the Equality Constraint Parameters, which are optional inputs to the garchset function.
http://www.mathworks.com/help/econ/garchset.html#f10-240486

Using these parameters allows you to force the optimization to keep some of the model parameters (that you specify) constant (in your case 0).

I think there's an example of using them in the doc although I can't find a link for you.

Phil.



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