How to fit a GARCH(1, 1) Model in MATLAB

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This video demonstrates the procedure of fitting a GARCH(1, 1) model to S&P 500 returns in MATLAB. The video assumes that the watcher already has a basic understanding of GARCH models as well as background knowledge of several statistical tests including Jarque-Bera and Ljung-Box.

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first thank you for video and i have a question how i can changing estimation method from maximum likelihood to quasi maximum likelihood ??

osamamostafa

Hello and thank you very much for sharing your knowledge. I have one thought and would be super happy if you could answer me. I have a Net series (asset - liability) and tried to fit the Garch to the difference (N_t - N_t-1) instead of Return. my model does not fit very well on difference series because it shows autocorrelation on squaredStdResids. when I calculate Return on my Net series, and fit Garch, I don´t have such problem. what should I consider?

amirrhosseinheydarizadeh

Hi, If i have downloaded sp500 data how would I find the best model for the conditional mean of returns (by using a Box-Jenkins modeling strategy and serial correlation tests in the residuals of a regression of returns
on a constant)?

nawfalakhter

can we estimate garch by qml and gmm by matlab??

osamamostafa

Thank you for your video! In my case i want to estimate GARCH(1, 1) on return series, my task is not to correct an ARMA model but to calculate volatility. How can i estimate estiamte voltitityt directly by using a GARCH(1, 1) in matlab?

USFPElections

I like ur vedio.its realy helpful.plz sir make vedio on how to perform garch model with different distribution.

faizaahmed

Quick questions. If we use t distribution, how many degrees of freedom? I've found that 8, is it correct? And then, which statistical tests should you perform while checking residuals?

wryip

Hi,
How to you determine the optimal number of GARCH and ARCH lags??
..also could be cool to do a video of the hybrid ArimaGarch :)

juanantoniovillarrealgarza

Professor, can you kindly write again function at script here.? It’s so small and fuzzy, I can’t follow clearly, thank so much!

lethiminhhuong

Great video, helped a lot! You don't happen to know know how to test for spillover effects? As in between rates, returns or something similar. If you do and wish to share through a comment or video, that would be amazing!

amandanordstrom

Great vid! Just wondering hows your math finance program going. Have you graduate yet?

llevine

Greeat video 🙌How can I get hold of you, email?

ndeutapohandjaba

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