I finally found what I want. Honestly, we cannot thank you enough. I just suggest to add:
1-the Range-GARCH (RGARCH) based models that use high, low, open, close and volume time series data.
2-Bench mark-based tests such as Diebold-Mariano.
I am trying to use the GJR-GARCH specification with exogenous variables in variance equations. I found in garch.m, line_316, the column sequence of constraints matrix A (first: leverage, then, exogeneous y) is not the same as that of the starting values (0.5 for leverage, then 0 for y) and ublb. I guess they should match? Sorry if I am wrong. Could you please advice. Thanks very much.
I am trying to use garchfind to find the best model to my data but when I put arma (1,9) with garch(1,1) the program gives this output:
Error in ==> garchfind at 41
if nargin == 0
??? Output argument "LLF" (and maybe others) not assigned during call to
Error in ==> aEntrada_de_dados_garch at 179
[parameters, stderrors, LLF, ht, resids, summary] = garchfind(ret, models, distributions,
1, 9, 1, 1, options);
Could you help me?
Thank you a lot