Regression in Simulation
Including a regression component with garchsim and garchinfer is like including one with garchfit. (See Regression in Estimation.)
For example, the following command simulates a single realization
of 2000 observations of the innovations, conditional standard deviations,
and returns:
strm = RandStream('mt19937ar','Seed',91583);
RandStream.setDefaultStream(strm);
[e,s,y] = garchsim(spec,2000,1,[],X);You can also
use the same regression matrix X to infer the innovations
and conditional standard deviations from the returns:
[eInfer,sInfer] = garchinfer(spec,y,X);
 | Regression in Estimation | | Regression in Forecasting |  |
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