matlab调用函数GJ,GJR Model

Fit Model to Data

Interactively specify and fit GARCH, EGARCH, and GJR models to data. Then, determine the model that fits to the data the best by comparing fit statistics.

Fit two competing, conditional variance models to data, and then compare their fits using a likelihood ratio test.

Estimate a composite conditional mean and variance model.

Interactively evaluate model assumptions after fitting data to a GARCH model by performing residual diagnostics.

Infer conditional variances from a fitted conditional variance model.

Export variables to the MATLAB® Workspace, generate plain text and live functions that return a model estimated in an app session, or generate a report recording your activities on time series and estimated models in an Econometric Modeler app session.

This example shows how to model the market risk of a hypothetical global equity index portfolio with a Monte Carlo simulation technique using a Student's t copula and Extreme Value Theory (EVT).