请问各位,怎么用GARCH模型编程模拟预测未来的股票指数,对于写论文有帮助,谢谢!怎么调用里面的相应函数来完成?谢谢!
If you have GARCH toolbox, this is the simplest way :
[NL,NC]=size(data);
for n=1:NC
Return(:,n) = log(data(2:NL,n)./data(1:NL-1,n))*100;
end
[coeff,errors,LLF,innovations,sigmas] = garchfit(Return);
% Then, for 5 periods forecast horizon
[sigmaForecast,meanForecast] = garchpred(coeff,return,5);
For other UGARCH structure, you can use garchset and garchget fonctions.
For MGARCH you can use ucsd_garch toolbox :
http://bbs.pinggu.org/thread-142018-1-1.html&page=1