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GARCH model variance calculation

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tilfani oussama
tilfani oussama on 16 Feb 2018
Closed: MATLAB Answer Bot on 20 Aug 2021
I have a financial return series, i would like to estimate volatitlity through a GARCH(1,1), my task is not to correct heteroskedasticty in residuals; but only to estimate volatility, i used command garch('Offset','NaN','GARCHLags',1,'ARCHLags',1).I used the equation variance=constant+GARCH coef*variance(-1)+ARCHcoef-r²(-1). This is a right way to do it?

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