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Simulate GARCH(1,1)

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Julian Wzorek
Julian Wzorek on 16 Jan 2021
Commented: Nagasai Bharat on 22 Jan 2021
Hello,
I'm trying to simulate GARCH model, but my code doesn't work properly. It stops at some point and the values are the same.
clear;
clc;
parameters=zeros(1,3);
%Parametry
parameters(1,1)=0.2;
parameters(1,2)=0.7;
parameters(1,3)=0.3*(1-(parameters(1,1)+parameters(1,2)));
results=zeros(1000,2);
results(1,1)=1
results(1,2)=1
for i=2:1000
randn('seed',11);
results(i,2) = parameters(1,3)+parameters(1,1)*(results(i-1,1))^2+parameters(1,2)*results(i-1,2);
results(i,1)=randn*sqrt(results(i,2));
end

  1 Comment

Nagasai Bharat
Nagasai Bharat on 22 Jan 2021
Hi,
I am not able to reproduce the issue from my end. The code is working fine in my environment. Can you give more detail of the problem you are facing?

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