Name
garch_sigt — Generates garch sigmas
CALLING SEQUENCE
sigt=garch_sigt(y,x,param,nar,nma)
PARAMETERS
- Input
y = data vector
x = data matrix
param = vector of parameters
nar = # of ar parameters
nma = # of ma parameters
- Output
sigt=(nx1) vector of sigma(t) estimates
DESCRIPTION
Generates garch model sigmas over time given maximum likelihood estimates.
EXAMPLE
sigt = garch_sigt(grocer_y,grocer_x,parm1,nar,nma);
Example taken from function garch().