How to get GARCH parameters into a vector
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My question is fairly simply but i havent been able to find a solultion, how do i automatically save my GARCH model parameter estimates ?
I am using the econometrics toolbox and code similar to
model = garch(0,9);
fit = estimate(model,data);
Because i have to estimate the model 1000 times day after day i figure i could speed up the computation by given the previous days estimates as initial guesses. But how do i get these into a vector ?
Thanks!
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Respuestas (1)
Hang Qian
el 30 de Mzo. de 2014
To save the GARCH estimator as a vector, add a line to the above codes:
estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)];
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