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().  

               

AUTHOR

Eric Dubois 2002