How can I fit IGARCH models using the Econometrics Toolbox?

I would like to know if the Econometrics Toolbox supports IGARCH models.

I would also like to know if I can change the relationship ARCH + GARCH <1.

Answer 1

[MathWorks Support Team]

The ability to fit IGARCH models is currently not available in the Econometrics Toolbox.

Models with GARCH + ARCH = 1 are known as IGARCH (Integrated GARCH) models. These are considered a different "flavor" of the GARCH model than the type that the Econometrics Toolbox fits. In particular, the Econometrics Toolbox's GARCH model is designed for the case where GARCH + ARCH < 1.

One possible workaround is to check for third-party-contributions in MathWorks File Exchange or other such forums. For example, a quick online search brought up the following third-party MATLAB routines that include IGARCH model estimation:

https://github.com/bashtage/mfe-toolbox/blob/master/univariate/igarch.m

However, please note that MathWorks does not guarantee or warrant the use or content of these third-party packages. In case of any questions/issues regarding the above third-party functions, we recommend that you reach out to the respective third-party author(s).