Similar Threads

1. ARMA-GARCH estimation Using UCSD GARCH Toolbox - MATLAB

2. Making quad core working at full capacity for garch estimation in loops

Hi All,
I recently bought an intel Quad core cpu and I am looking for a way to make the cpu work at full capacity for doing GARCH calculation in a loop 1000 times.
So simplifying my program, I do something like the following
For n=1:1000
A=prices(n:n+1000,1);
spec = garchset(mpla mpla);
[coeff,errors,LLF,innovations,sigmas] = garchfit(spec, A);
end
Instead of using 25% of the cpu I want to use 90% (or more).
Any help will be greatly appreciated.
BR
Chris

3. GARCH-Estimation Initial values - MATLAB

4. GARCH pre-estimation analysis

Hello everyone
I followed the GARCH toolbox documentation in Matlab using the data shipped with it. I then applied the pre-estimation analysis to a different dataset, and do not see significant correlation in the standard deviation. The dataset are daily peak wholesale power prices at a particular hub. What should be my next step? Here are the results:
>> [H,pValue,Stat,CriticalValue] = ...
lbqtest(retdata-mean(retdata),[10 15 20]',0.05);
>> [H pValue Stat CriticalValue]
ans =
0 0.3408 11.2175 18.3070
0 0.3852 15.9523 24.9958
0 0.1514 26.4511 31.4104
>> [H,pValue,Stat,CriticalValue] = ...
lbqtest((retdata-mean(retdata)).^2,[10 15 20]',0.05);
>> [H,pValue,Stat,CriticalValue] = ...
>> [H pValue Stat CriticalValue]
ans =
0 0.9056 4.7759 18.3070
0 0.7469 11.0802 24.9958
0 0.8290 14.0286 31.4104
>> [H,pValue,Stat,CriticalValue] = ...
archtest(retdata-mean(retdata),[10 15 20]',0.05);
[H pValue Stat CriticalValue]
ans =
0 0.1910 13.6216 18.3070
0 0.3451 16.5722 24.9958
0 0.7166 16.0000 31.4104

5. GARCH parameter estimation - MATLAB

6. Question about GARCH model estimation

Hi,
I want to set up a bivariate GARCH model. Since there's a standard
GARCH toolbox in matlab, I think I might make it by adjusting the
univariate garchfit file. Do you think it is feasible?
Also, I'm reading through the garchfit model right now. In the
optimization part, fmincon.m calls the garchllfn.m function
(log-likelihood function for normal distribution), then garchllfn.m
calls a function named as garchllf.
But I couldn't find a function named as garchllf.m, instead I found a
mex-file named as garchllf, which can't be edited.
Anybody know how I can read and modify this file.
Thanks.
Best,
Norah

7. Problem with fmincon for GARCH model estimation - MATLAB

8. garch: maximum likelihood estimation

Hello everybody!
Do you know how to get the variance-covariance matrix by
ML-estimation of the GARCH(1,1)-process?
I've used garchfit, but this function gives as result in Summary only
the dimension of the var-covar matrix. For my purpose (confidence
interval for Value at Risk based on GARCH(1,1)) i need this matrix
numerically.
Thanks.