MATLAB >> GARCH estimation

by Citta Francesco » Sat, 04 Nov 2006 02:02:47 GMT

I am an Italian student facing my thesis about Dynamic Conditional
Correlation. I use Matlab 7 and I would like to estimate different
univariate GARCH model and then with the standardized residuals for
each of the univariate series to model the correlation. For this
purpose I need to have the scores of the log-likelihood function of
the univariate GARCH models. How can I obtain them?
Where can I go to change the settings and obtain the scores?
Have you some suggestions for my problem?

MATLAB >> GARCH estimation

by Francesca Perino » Wed, 08 Nov 2006 20:20:29 GMT


Ciao Francesco
have you developed by yourself the GARCH models or are you using The
Financial toolbox and/or the GARCH toolbox under MATLAB?

Let me know
-Francesca

MATLAB >> GARCH estimation

by Marcus M. Edvall » Thu, 09 Nov 2006 12:48:15 GMT

Hello Citta,

The best results I have obtained for this problem type if with TOMLAB
/KNITRO using MAD for the first derivatives (if not available) and a
BHHH approximation of the Hessian. The best would be if you had
gradient information on analytical format and used MAD for floating
point precision.

An interior point solver is usually needed since you have
singularities (or extreme nonlinearity) close to the bounds. An SQP
solver would bounce into these more easily.

If you are using the UCSD toolbox (Kevin's) I can send you some
helpful code.

Best wishes, Marcus
Tomlab Optimization Inc.
< http://tomopt.com >

MATLAB >> GARCH estimation

by Manthos Vogiatzoglou » Tue, 16 Mar 2010 23:10:22 GMT

Hi, all

The econometrics toolbox estimates GARCH models however I could find anywhere details about the estimation, like:

1. The solver (and algorithm) used (I am guessing fmincon)
2. The initial value (the value in Sigmas(1)) for the conditional variance equation
3. The lower and upper bounds constraints used in the estimation procedure

Can anyboby from mathworks provide these details ?

thanks in advance

MATLAB >> GARCH estimation

by Rick » Wed, 17 Mar 2010 21:05:25 GMT

Manthos,

This is all dicusssed in the documentation. Please see the section entitled "Estimation" in the Uer's Guide:

http://www.mathworks.com/access/helpdesk/help/toolbox/econ/f1-44824.html

-Rick

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