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fitparp function

version (1.95 KB) by Ali Najjar
fitparp estimate the parameters of specified GARCH marginals models


Updated 19 Jul 2011

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This function implemented by function 'copula111cGarch111VaR' and other related functions that will estimate the value at risk of portfolio.
The marginal model are GARCH(1,1),GJR(1,1),AR(1)-GARCH(1,1)and AR(1)-GJR(1,1)
the parameters and standard deviation of models will used for estimation of parameters of copula function.

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MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Inspired by: Dynamic Copula Toolbox 3.0