Asked by Pedro
on 12 Nov 2012

Hey,

Can someone help me with the error I'm getting with the following code:

load Data_GlobalIdx1 % Import daily index closings nIndices = size(Data, 2); % Number of Indices weights = repmat(1/nIndices, nIndices, 1); % Equally Weighted Portfolio returns = price2ret(Data, [], 'Periodic')*weights; % Arithmetic Portfolio Returns returns = log(1 + returns); % Logarithmic Portfolio Returns T = size(returns, 1); % Historical Returns model = arima('AR', NaN, 'Distribution', 't', 'Variance', egarch(1,1)); % egarch(1,1) model options = optimset('fmincon'); options = optimset(options, 'Display', 'off', 'Diagnostics', 'off', 'Algorithm', 'sqp', 'TolCon', 1e-7); fit = estimate(model, returns, 'options', options); % Fit the model [residuals, variances] = infer(fit, returns); %infer residuals and variances standardizedResiduals = residuals./sqrt(variances); s = RandStream.getGlobalStream(); % reset (s) nTrials = 20000; % # of independent random trials horizon = 22; % VaR forecast horizon bootstrappedResiduals = standardizedResiduals(unidrnd(T, horizon, nTrials)); Y0 = returns(end); % Presample Returns Z0 = residuals(end)./sqrt(variances(end)); % Presample Model Standardized Residuals V0 = variances(end); % Presample Variances portfolioReturns = filter(fit, bootstrappedResiduals, 'Y0', Y0, 'Z0', Z0, 'V0', V0);

The error I get is the following:

*Undefined function 'filter' for input arguments of type 'arima'.
Error in bootstrap_VaR (line 24)
portfolioReturns = filter(fit, bootstrappedResiduals, 'Y0', Y0, 'Z0', Z0,
'V0', V0);*

The code I used comes straight from mathworks:

Thank you very much for your help.

Pedro

Answer by Jan Simon
on 13 Nov 2012

Edited by Jan Simon
on 12 Jan 2013

Do you have an installed and licenced Econometrics Toolbox? Then `filter` should be found: http://www.mathworks.com/help/econ/arima.filter.html. But if you do not have this toolbox, the "arime()" call should fail already. Strange.

Answer by Shashank Prasanna
on 12 Jan 2013

The filter method for the arima class (along with garch egarch and gjr) was introduced in MATLAB 2012b econometric toolbox release. Here is the release notes that has details about this addition: http://www.mathworks.com/help/econ/release-notes.html

Could you confirm that you have this release of MATLAB and are still facing this issue? If you have a professional license and a valid SMS feel free to login to your MathWorks account and upgrade to the latest release.

Opportunities for recent engineering grads.

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