GARCH Toolbox™

garchcount - Count number of GARCH estimation coefficients

Syntax

NumParams = garchcount(Coeff)

Description

NumParams = garchcount(Coeff) counts and returns the number of estimated coefficients from a specification structure, as returned by garchfit, containing coefficient estimates and equality constraint information. garchcount is a helper utility designed to support the model selection function aicbic.

Input Arguments

Coeff

Specification structure containing coefficient estimates and equality constraints. Coeff is an output of the estimation function garchfit.

Output Arguments

NumParams

Number of estimated parameters, that is, coefficients, included in the conditional mean and variance specifications, less any parameters held constant, as equality constraints, during the estimation. The aicbic function needs NumParams to calculate the Akaike (AIC) and Bayesian (BIC) statistics.

Examples