Simulate GARCH(1,1)
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Hello,
I'm trying to simulate GARCH model, but my code doesn't work properly. It stops at some point and the values are the same.
clear;
clc;
parameters=zeros(1,3);
%Parametry
parameters(1,1)=0.2;
parameters(1,2)=0.7;
parameters(1,3)=0.3*(1-(parameters(1,1)+parameters(1,2)));
results=zeros(1000,2);
results(1,1)=1
results(1,2)=1
for i=2:1000
randn('seed',11);
results(i,2) = parameters(1,3)+parameters(1,1)*(results(i-1,1))^2+parameters(1,2)*results(i-1,2);
results(i,1)=randn*sqrt(results(i,2));
end
1 Comment
Nagasai Bharat
on 22 Jan 2021
Hi,
I am not able to reproduce the issue from my end. The code is working fine in my environment. Can you give more detail of the problem you are facing?
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