Recent content by Chloe Lin

Sorry. I'll just repost the code with the data file attached. [x,fval]=fmincon(@ollh,x0,[],[],[],[],[],[],@mycon) function f=ollh(x) r=xlsread('HW_3_Data','old vix','j4:j1257'); ovix=xlsread('HW_3_Data','old vix','f4:f1257'); sigma=var(r); omega=sigma*(1-x(1)*(1+x(3)^2)-x(2))...

I tried to write a code to estimate the variables for NGARCH model: \(\sigma(t+1)^2=\omega+\alpha*(Return(t)-\theta*\sigma(t))^2+\beta*\sigma(t)^2\) where \(\omega=\sigma*(1-\alpha*(1+\theta^2)-\beta)\) I wrote a function as function f=osllh(x) r=xlsread('HW_3_Data','old vix','j4:j1257')...