Issue with exercice - GARCH Models

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Zoe Moureau
Zoe Moureau on 7 May 2015
Hello guys !
I need your help for a small exercice with Matlab. I tried to do it but I'm blocked at this level :
data{1} = 'allianz.xlsx'; data{2} = 'delhaize.xlsx'; data{3} = 'microsoft.xlsx';
for m = 1:3
for i=xlsread(data{m})
ri = price2ret(i);
parami = garchpq(ri, 1, 1);
omi = parami(1);
ai = parami(2);
bi = parami(3);
v = omi/(1-ai-bi)
end
end
Could you please tell me if you think I've started right ? I've enclosed the needed data to pursue this exercice in an appropriate way.
I would be very happy if you look into this :-) !
Thank's!

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