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garchset

Set ARMAX/GARCH model specification parameters

garchset has been removed. Use arima, garch, egarch, or gjr instead.

Syntax

Spec = garchset(param1,val1,param2,val2,...)
Spec = garchset(OldSpec, param1,val1,...)
Spec = garchset
garchset

Description

  • Spec = garchset(param1,val1,param2,val2,...) creates a GARCH model specification structure Spec using the parameter-value pairs specified in the input argument list. Use garchget to retrieve the values of specification structure parameters.

  • Spec = garchset(OldSpec, param1,val1,...) modifies an existing GARCH specification structure OldSpec by changing the named parameters to the specified values. garchset returns an error if the new parameter values would create an invalid model.

  • Spec = garchset creates a GARCH specification structure Spec for the Econometrics Toolbox™ default model. The conditional mean equation for this model is a simple constant plus additive noise. The conditional variance equation of the additive noise is a GARCH(1,1) model.

    You can use the Spec created using this shorthand syntax as an input to garchfit, but you cannot use it as input to garchinfer, garchpred, or garchsim.

  • garchset (with no input arguments and no output arguments) displays all parameter names (and their default values, where appropriate).

Input Arguments

param1,
param2,
...

String representing a valid parameter field of the output structure Spec. Parameters lists the valid parameters and describes their allowed values. A parameter name needs to include only sufficient leading characters to uniquely identify the parameter. Parameter names are case insensitive.

val1,
val2, ...

Value assigned to the corresponding parameter.

OldSpec

Existing GARCH specification structure as generated by garchset or garchfit.

Output Arguments

Spec

GARCH specification structure containing the style, orders, and coefficients (if specified) of the conditional mean and variance specifications of a GARCH model. It also contains the parameters associated with the Optimization Toolbox™ fmincon function.

Parameters

A GARCH specification structure includes these parameters. Except as noted, garchset sets all parameters you do not specify to their respective defaults.

General Parameters

ParameterValueDescription

Comment

String.
Default is a model summary.

User-defined summary comment. An example of the default is 'Mean: ARMAX(0, 0, ?); Variance: GARCH(1, 1)'.

Distribution

'T' or 'Gaussian'. Default is 'Gaussian'.

Conditional distribution of innovations.

DoF

Scalar. Default = [].

Degrees of freedom parameter for t distributions (must be > 2).

Conditional Mean Parameters

If you specify coefficient vectors AR and MA, but not their corresponding model orders R and M, garchset infers the values of the model orders from the lengths of the coefficient vectors.

ParameterValueDescription

R

Nonnegative integer scalar. Default is 0.

Autoregressive model order of an ARMA(R,M) model.

M

Nonnegative integer scalar. Default is 0.

Moving-average model order of an ARMA(R,M) model.

C

Scalar coefficient. Default is [].

Conditional mean constant. If C = NaN, garchfit ignores C, effectively fixing C = 0, without requiring initial estimates for the remaining parameters.

AR

R-element vector. Default is [].

Conditional mean autoregressive coefficients that imply a stationary polynomial.

MA

M-element vector. Default is [].

Conditional mean moving-average coefficients that imply an invertible polynomial.

Regress

Vector of coefficients. Default is [].

Conditional mean regression coefficients.

Conditional Variance Parameters

If you specify coefficient vectors GARCH and ARCH, but not their corresponding model orders P and Q, garchset infers the values of the model orders from the lengths of the coefficient vectors.

ParameterValueDescription

VarianceModel

'GARCH', 'EGARCH', 'GJR', or 'Constant'. Default is 'GARCH'.

Conditional variance model.

P

Nonnegative integer scalar. P must be 0 if Q is 0. Default is 0.

Model order of GARCH(P,Q), EGARCH(P,Q), and GJR(P,Q) models.

Q

Nonnegative integer scalar. Default is 0.

Model order of GARCH(P,Q), EGARCH(P,Q), and GJR(P,Q) models.

K

Scalar coefficient. Default is [].

Conditional variance constant.

GARCH

P-element vector. Default is [].

Coefficients related to lagged conditional variances.

ARCH

Q-element vector. Default is [].

Coefficients related to lagged innovations (residuals).

Leverage

Q-element vector. Default is [].

Leverage coefficients for asymmetric EGARCH(P,Q) and GJR(P,Q) models.

Equality Constraint Parameters

The garchfit function uses these parameters only during estimation. Use these parameters cautiously. The problem can experience difficulty converging if the fixed value is not well-suited to the data at hand.

ParameterValueDescription

FixDoF

Logical scalar. Default is [].

Equality constraint indicator for DoF parameter.

FixC

Logical scalar. Default is [].

Equality constraint indicator for C constant.

FixAR

R-element logical vector. Default is [].

Equality constraint indicator for AR coefficients.

FixMA

M-element logical vector. Default is [].

Equality constraint indicator for MA coefficients.

FixRegress

Logical vector. Default is [].

Equality constraint indicator for the REGRESS coefficients.

FixK

Logical scalar. Default is [].

Equality constraint indicator for the K constant.

FixGARCH

P-element logical vector. Default is [].

Equality constraint indicator for the GARCH coefficients.

FixARCH

Q-element logical vector. Default is [].

Equality constraint indicator for the ARCH coefficients.

FixLeverage

Q-element logical vector. Default is [].

Equality constraint indicator for Leverage coefficients.

Optimization Parameters

garchfit uses the following parameters when calling the Optimization Toolbox fmincon function during estimation.

ParameterValueDescription

Display

'on' or 'off'. Default is 'on'.

Display iterative optimization information.

MaxFunEvals

Positive integer. Default = (100*number of estimated parameters).

Maximum number of objective function evaluations allowed.

MaxIter

Positive integer. Default is 400.

Maximum number of iterations allowed.

TolCon

Positive scalar. Default is 1e-007.

Termination tolerance on the constraint violation.

TolFun

Positive scalar. Default is 1e-006.

Termination tolerance on the objective function value.

TolX

Positive scalar. Default is 1e-006.

Termination tolerance on parameter estimates.

Examples

  1. Create a GARCH(1,1) model:

    spec = garchset('P', 1, 'Q', 1)
    
    spec = 
    
              Comment: 'Mean: ARMAX(0,0,?); Variance: GARCH(1,1) '
         Distribution: 'Gaussian'
                    C: []
        VarianceModel: 'GARCH'
                    P: 1
                    Q: 1
                    K: []
                GARCH: []
                 ARCH: []
    
  2. Change the model to a GARCH(1,2) model:

    spec = garchset(spec, 'Q', 2)
    
    spec = 
    
              Comment: 'Mean: ARMAX(0,0,?); Variance: GARCH(1,2) '
         Distribution: 'Gaussian'
                    C: []
        VarianceModel: 'GARCH'
                    P: 1
                    Q: 2
                    K: []
                GARCH: []
                 ARCH: []
    

In each case, garchset displays the relevant fields in the specification structure.

    Tip   Use garchget to retrieve the values of individual fields.

See Also

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Related Examples

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