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Simulate Conditional Variance Model: Simulating The System in Matlab (Sample Assignment)

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142 views3 pages

Simulate Conditional Variance Model: Simulating The System in Matlab (Sample Assignment)

MatlabAssignmentExperts is a 4 year old firm operating in the niche field of MATLAB Assignments, Homeworks, Projects, Term Paper, Dissertation and Thesis. It is a leading Homework and assignment solution provider that specializes in MATLAB assignments. Our team of experts specializes in solving assignments using Math works’ MATLAB and Simulink software. Our objective is to ensure that all of your MATLAB homework is taken care of and we try and provide complete support for completion of MATLAB assignments. We have been providing help with assignments and been assisting students achieve high quality MATLAB assignments. We aim to ensure that the toughest of the MATLAB assignments are resolved with the support of our team of experts. Our trained and certified experts in MATLAB can assist you to complete all the steps of numerical problems requiring the usage of MATLAB and provide you with analysis as well as detailed solutions. Our online MATLAB homework and online MATLAB tutoring services aims at helping students perform better through involvement of experienced MATLAB experts. We can help you gain MATLAB assignment assistance from our experiences experts who can help you with MATLAB homework help. We help our clients obtain high quality assignments through our live MATLAB homework help services whenever they need assignment help. As MATLAB requires experience and understanding of the software, our team of experts go through intensive training and this can benefit you in a great way. Your academic success reflects our success and so our team of experts is completely dedicated to provide you with high quality and value adding MATLAB online homework services on a 24x7 basis. This can help you not only obtain better grades in MATLAB assignments but also help you learn more about solving MATLAB assignments by going through the step by step MATLAB solutions.

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SIMULATING THE SYSTEM IN MATLAB (SAMPLE ASSIGNMENT) For any Help with Simulating the System in MATLAB Assignment

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Simulate Conditional Variance Model


This sample assignment shows how to simulate a conditional variance model using simulate. Step 1. Load the data and specify the model. Load the Deutschmark/British pound foreign exchange rate data included with the toolbox, and convert to returns. Specify and fit a GARCH(1,1) model.

load Data_MarkPound r = price2ret(Data); N = length(r); model = garch(1,1); fit = estimate(model,r); V0 = infer(fit,r);


For details about model selection and specification for this data, see:

Specify a Conditional Variance Model Likelihood Ratio Test for Conditional Variance Models Step 2. Simulate foreign exchange rate returns. Use the fitted model to simulate 25 realizations of foreign exchange rate returns and conditional variances over a 1000-period forecast horizon. Use the observed returns and inferred conditional variances as presample innovations

and variances, respectively.

rng('default') [V,Y] = simulate(fit,1000,'numPaths',25,... 'E0',r,'V0',V0); figure(1) subplot(2,1,1) plot(V0) hold on plot(N+1:N+1000,V) xlim([0,N+1000]) title('Conditional Variances') hold off subplot(2,1,2) plot(r)

hold on plot(N+1:N+1000,Y) xlim([0,N+1000]) title('Returns') hold off

Step 3. Plot the returns distribution at a future time. Use simulations to generate a forecast distribution of foreign exchange returns 500 days into the future. Generate 1000 sample paths to estimate the distribution.

rng('default') [V,Y] = simulate(fit,500,'numPaths',1000,... 'E0',r-fit.Offset,'V0',V0); figure(2) hist(Y(500,:)) title('Return Distribution in 500 Days')

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