help with the error

Hi can some one please help me correct this error:

Code:

clc;
clear;

model = garch('Constant',0.1,'GARCH',0.4,'ARCH',0.5);

rng('default')
[Vn,Yn] = simulate(model,100,'numPaths',5);

Error:

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

Error in simm (line 4)
model = garch('Constant',0.1,'GARCH',0.4,'ARCH',0.5);

[the cyclist]

What do get if you type

which garch

?

[dav]

'garch' not found.

Answer 1

[Shashank Prasanna]

You either:

1) Don't have the Econometrics Toolbox installed. Check the output of VER:

>> ver

2) Are using a version of MATLAB older than MATLAB r2012a

Here are the release notes:

http://www.mathworks.com/help/econ/release-notes.html?searchHighlight=garch

[dav]

this is what I get: and i dont have have the Econometrics Toolbox . how can i install it please?

>> ver
-------------------------------------------------------------------------------------------------------
MATLAB Version: 7.14.0.739 (R2012a)
MATLAB License Number: •••••
Operating System: Microsoft Windows 7 Version 6.1 (Build 7600)
Java Version: Java 1.6.0_17-b04 with Sun Microsystems Inc. Java HotSpot(TM) 64-Bit Server VM mixed mode
-------------------------------------------------------------------------------------------------------

[Shashank Prasanna]

Dav, you don't have the Econometrics Toolbox installed with your MATLAB.

Which means you won't be able to use the garch functions.

http://www.mathworks.com/help/econ/garchclass.html

You can either obtain the econometrics toolbox and install it or look for alternatives in the File Exchange:

http://www.mathworks.com/matlabcentral/fileexchange/index?utf8=%E2%9C%93&term=garch

[dav]

Thanks.I needed it to generate an ARCH data set. I was using the following code but for some reason it doesn't give me the correct parameter estimates when I checked for them

Code:

T = 300;

a0 = 0.1; a1 = 0.4; 

ra = zeros(T+2000,1);
seed=123;
rng(seed);

%ra = randn(T+2000,1); 
ra = trnd(5,T+2000,1); 

epsi=zeros(T+2000,1);
simsig=zeros(T+2000,1);

unvar = a0/(1-a1);

for i = 1:T+2000
                 if (i==1) 
                     simsig(i) = unvar;
                     s=(simsig(i))^0.5;
                     epsi(i) = ra(i) * s;

                   else                     
                       simsig(i) = a0+ a1*(epsi(i-1))^2;
                       s=(simsig(i))^0.5;
                       epsi(i) = ra(i)* s;
                   end
  end

Is there a way to estimate the parameters of this dataset?

Thanks

[Shashank Prasanna]

Please post a new question since this isn't related to the original question. This way you will have more eyes looking at it.

You can estimate your parameters by calling the arima estimate function part of the econometrics toolbox. If you don't have it you can try using some functions written by other in the file exchange the link to which I shared in the previous post.