mean offset in garch,gjr and egarch models

2 views (last 30 days)
azim
azim on 19 Jan 2019
hi,
i was just writing a program for time series of asset returns and was reading about garch, gjr and egarch models. one thing i noticed in the documentation was the mean offset. this may sound stupid but i have no idea what is this mean offset is for. normally i take the constant for the garch or gjr models near to about 0.01 and never mention anything about the mean offset just wanted to know what is the mean offset for. also is it useful for asset price time series modelling? a clarification on this matter would make me understand the model better and i would be highly obliged.
thanks,
azim

Answers (0)

Products


Release

R2018b

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!