Mein MATLAB Forum

%%% Import data [Open, High, Low, Close, Volume, Adj. Close]

S=importdata('appledaily.csv',',')
rawdata=S.data;
textdata=S.textdata;

%%%Extract the data

format shortG
 
price=rawdata(:,6);
price=flipud(price); %old values have to be on top
plot(price)
title('Prices')

ret=price2ret(price);
plot(ret)
title('Returns')

%%%Conditional Mean Model ARMA(0,0) and Conditional Variance Model
%%%GARCH(1,1) under Gauss

spec=garchset('VarianceModel','GARCH','R',0,'M',0,'P',1,'Q',1)
spec=garchset(spec,'Distribution','Gaussian')

 
[coeff,errors,LLF,innovations,sigmas,summary]=garchfit(spec,ret);
garchdisp(coeff,errors)