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garchdisp

Display ARMAX/GARCH model parameters and statistics

garchdisp has been removed. Use print instead.

Syntax

garchdisp(Coeff,Errors)

Description

garchdisp(Coeff,Errors) displays coefficient estimates, standard errors, and T-statistics from a GARCH specification structure that was output by the estimation function garchfit.

This function displays estimation results, and returns no output arguments. The tabular display includes parameter estimates, standard errors, and T-statistics for each parameter in the conditional mean and variance models. The standard error and T-statistic columns of parameters held fixed during the estimation process display 'Fixed'. This indicates that the parameter is an equality constraint.

Input Arguments

Coeff

GARCH specification structure containing estimated coefficients and equality constraint information. Coeff is an output of the estimation function garchfit.

Errors

Structure containing the estimation errors (that is, the standard errors) of the coefficients in Coeff. Errors is also an output of the estimation function garchfit.

Examples

  1. Use garchfit to generate the GARCH specification structure Coeff and the standard errors structure Errors, for a return series of 1000 simulated observations based on a GARCH(1,1) model:

    spec = garchset('C', 0, 'K', 0.0001,...
       'GARCH', 0.9, 'ARCH', 0.05,'Display', 'off');
    rng('default')        % make output reproducible
    [e, s, y]            = garchsim(spec, 1000);
    [Coeff, Errors]      = garchfit(spec, y);
    
  2. Run garchdisp to display the estimation results:

    garchdisp(Coeff, Errors)
    
    Mean: ARMAX(0,0,0); Variance: GARCH(1,1)
     
      Conditional Probability Distribution: Gaussian
      Number of Model Parameters Estimated: 4
    
                                   Standard          T     
      Parameter       Value          Error       Statistic 
     -----------   -----------   ------------   -----------
               C    -0.0013525     0.0013368       -1.0118
               K    0.00027658     0.00014948       1.8503
        GARCH(1)    0.77864        0.10108          7.7031
         ARCH(1)    0.07357        0.0286           2.5724
    

      Tip   Setting 'Display' to 'off' suppresses display of the iterative optimization information produced by garchfit.

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