fitparp function

Version 1.5.0.0 (1.95 KB) by Ali Najjar
fitparp estimate the parameters of specified GARCH marginals models
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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.

Cite As

Ali Najjar (2024). fitparp function (https://www.mathworks.com/matlabcentral/fileexchange/32215-fitparp-function), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Conditional Variance Models in Help Center and MATLAB Answers
Acknowledgements

Inspired by: Dynamic Copula Toolbox 3.0

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Version Published Release Notes
1.5.0.0

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1.4.0.0

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1.3.0.0

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1.0.0.0