MATLAB Examples

Specify GJR Model with Nonconsecutive Lags

This example shows how to specify a GJR model with nonzero coefficients at nonconsecutive lags.

Specify a GJR(3,1) model with nonzero GARCH terms at lags 1 and 3. Include a mean offset.

Mdl = gjr('Offset',NaN,'GARCHLags',[1,3],'ARCHLags',1,...
    'LeverageLags',1)
Mdl = 

    GJR(3,1) Conditional Variance Model with Offset:
    --------------------------------------------------  
    Distribution: Name = 'Gaussian'
               P: 3
               Q: 1
        Constant: NaN
           GARCH: {NaN NaN} at Lags [1 3]
            ARCH: {NaN} at Lags [1]
        Leverage: {NaN} at Lags [1]
          Offset: NaN

The unknown nonzero GARCH coefficients correspond to lagged variances at lags 1 and 3. The output shows only the nonzero coefficients.

Display the value of GARCH:

Mdl.GARCH
ans =

  1x3 cell array

    {[NaN]}    {[0]}    {[NaN]}

The GARCH cell array returns three elements. The first and third elements have value NaN, indicating these coefficients are nonzero and need to be estimated or otherwise specified. By default, gjr sets the interim coefficient at lag 2 equal to zero to maintain consistency with MATLAB® cell array indexing.