garch in mean

Anyboday can help to tell me how to do garch in mean estimation in matlab?

I have a return series, and want to estimate garch in mean with GARCH(1,1) and TGARCH(1,1), and want to use the estimated parameters to do forecast using rolling window. But the difficulty is that it seems there are no toolbox could do garch in mean with garch or tgarch.

garchset() has not option to set GARCH-M model. Some toolkits download from web (USCD_GARCH) has garchinmean.m, but can not deal with garch-m with TGARCH.

Anyone could help?

Thanks in advance.

Answer 1

[the cyclist]

I can think of two possible places to look:

• Search for "garch" in the File Exchange.
• Econometrics Toolbox from Peter LeSage <http://www.spatial-econometrics.com/

Since you know about USCD_GARCH, though, I'm guessing you've already tried these. :-/