In this demo, we retrieve the historical data of S&P500, remove missing data, and convert them into timetable format. Following, we used Econometric Modeler App to fit 3 GARCH models: GARCH(1,1), EGARCH(1,1), and GJR(1,1). Lastly, we showed how to perform simulation and forecasting using the selected GARCH model.
MathWorks Quant Team (2020). Creating GARCH Models using Econometric Modeler App (File for video demo) (https://www.mathworks.com/matlabcentral/fileexchange/66516-creating-garch-models-using-econometric-modeler-app-file-for-video-demo), MATLAB Central File Exchange. Retrieved .
Unfortunately, our GARCH framework does not support GARCH-in-mean specification.
Sorry, I have just seen your question. I will ask someone in my econometrics team to get the answer shortly.
How can i implement GARCH in Mean model with dummy variable in conditional variable equation?