GARCH Toolbox™

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

Examples

1. 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');
   randn('state',0); 
   rand('twister',0);
   [e, s, y]            = garchsim(spec, 1000);
   [Coeff, Errors]      = garchfit(spec, y);
   

2. 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    -0.0024756     0.0012919       -1.9163
              K    4.6585e-005    5.3358e-005      0.8731
       GARCH(1)    0.93927        0.041453        22.6588
        ARCH(1)    0.035442       0.015082         2.3499

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

See Also

garchcount, garchfit

garchcount

garchfit