please help with the errror

Hi I am trying to run the following program but it doesnt identify the function and gives me an error. can someone please help me with it?

code:

clc;
clear;

T = 300;

a0  = 0.1; a1 = 0.4; a2 = 0.0; b1 = 0.2; b2= 0.0;  % garch parameters

epsi  = randn(T+2000,1);           
ut   = zeros(T+2000,1);          % garch data
sig2 = zeros(T+2000,1);          % sigma squared in garch model

unvar = a0/(1-a1-a2-b1-b2); % unvar is the unconditional variance.. initial condition

for i = 1:T+2000
                 if i==1 
                     sig2(i) = a0 + a1*unvar + a2*unvar + b1*unvar + b2*unvar;
                     sig =(sig2(i))^0.5;
                     ut(i) = epsi(i) * sig;                 
                 elseif i==2
                     sig2(i) = a0 + a1*(ut(1))^2 + a2*unvar + b1*sig2(1)+ b2*unvar;
                     sig =(sig2(i))^0.5;
                     ut(i) = epsi(i) * sig; 
                 else
                     sig2(i) = a0 + a1*(ut(i-1))^2 + a2*(ut(i-2))^2 + b1*(sig2(i-1)) + b2*(sig2(i-2));
                     sig=(sig2(i))^0.5;
                     ut(i) = epsi(i) * sig;
                 end
end

utl = ut(2001:T+2000);

model1 = garch('Offset',NaN,'GARCHLags',1,'ARCHLags',1);
[fit1,~,LogL1] = estimate(model1,utl);

error:

Undefined function 'garch' for input arguments of type 'char'.

Error in test (line 32)
model1 = garch('Offset',NaN,'GARCHLags',1,'ARCHLags',1);

[Star Strider]

The garch functions are in the Econometrics Toolbox.

Answer 1

[James Kristoff]

As Star Strider stated, the command garch is part of the Econometrics Toolbox. If you want to find out if you have this toolbox installed, you can use the ver command.

You can also use the which command to find out if a command is on the MATLAB path e.g.

which -all plot

will list the locations of all plot functions on the MATLAB path.

[James Kristoff]

You can install the toolbox if it is on your license, or if you buy it. I am sure that you could do the math to "estimate the orders of p and q of a garch data set" without this function, but you would have to look up the related equations and implement them yourself in MATLAB. I do not know enough about this application to help implement the function by hand.