garchdisp - Display GARCH process estimation results

Syntax

garchdisp(Coeff,Errors)

Description

garchdisp(Coeff,Errors) displays coefficient estimates, standard errors, and T-statistics from a GARCH specification structure that was output by the estimation function garchfit.

This function displays estimation results, and returns no output arguments. The tabular display includes parameter estimates, standard errors, and T-statistics for each parameter in the conditional mean and variance models. The standard error and T-statistic columns of parameters held fixed during the estimation process display 'Fixed'. This indicates that the parameter is an equality constraint.

Input Arguments

`Coeff`	GARCH specification structure containing estimated coefficients and equality constraint information. `Coeff` is an output of the estimation function `garchfit`.
`Errors`	Structure containing the estimation errors (that is, the standard errors) of the coefficients in `Coeff`. `Errors` is also an output of the estimation function `garchfit`.

Examples

Use garchfit to generate the GARCH specification structure Coeff and the standard errors structure Errors, for a return series of 1000 simulated observations based on a GARCH(1,1) model:

spec = garchset('C', 0, 'K', 0.0001,...
   'GARCH', 0.9, 'ARCH', 0.05,'Display', 'off');
strm = RandStream('mt19937ar'); % reproducible
RandStream.setDefaultStream(strm);
[e, s, y]            = garchsim(spec, 1000);
[Coeff, Errors]      = garchfit(spec, y);

Run garchdisp to display the estimation results:

garchdisp(Coeff, Errors)
  Mean: ARMAX(0,0,0); Variance: GARCH(1,1)
 
  Conditional Probability Distribution: Gaussian
  Number of Model Parameters Estimated: 4

                               Standard          T     
  Parameter       Value          Error       Statistic 
 -----------   -----------   ------------   -----------
           C    -0.0013526     0.0013368       -1.0119
           K    0.00027647     0.00014944       1.8500
    GARCH(1)    0.77871        0.10106          7.7057
     ARCH(1)    0.073557       0.028595         2.5724

Tip Setting 'Display' to 'off' suppresses display of the iterative optimization information produced by garchfit.

garchdisp - Display GARCH process estimation results

Syntax

Description

Input Arguments

Examples

See Also