Handling with an Error caused by using GARCH(1,1) in Matlab

Question

I need help for handling with an error in matlab caused with the function

estimate(garch(1,1),x')

from the Economic Toolbox. My exercise is to predict values for value-at-risks by using garch(1,1)-models for discrete returns $R$ of share prices $data$

    for i=1:length(data-1)
         R(i-1)=data(i)/data(i-1)-1;
     end

of various public companys from 2004 till 2016. Therefore I am using for example 250 discrete returns from the past to predict a value for the actual value-at-risk:

  for j=1:length(R)-n
    daten=R(j:(n+j-1));
    x=daten-mean(daten)*ones(1,n);
    fit  = estimate(garch(1,1),x');
    estParams = ['Constant',cell2mat(fit.GARCH), cell2mat(fit.ARCH)];
    alpha0(j)=estParams(1);
    alpha1(j)=estParams(2);
    beta1(j)=estParams(3);

end

n equals to 250 here. The problem is, that I am always getting this error after certain runs of my if-loop, because the data doesnt fit to a garch(1,1)-model:

Error using VaR_garch (line 21)
Estimated GARCH model is invalid.

Caused by:
   Error using garch/validateModel (line 791)
   Non-zero degree P requires a non-zero degree Q.

and the corresponding lines of garch.m are

 if (Mdl.P > 0) && (Mdl.Q == 0)
  error(message('econ:garch:validateModel:InvalidModelDegrees'))
end

So I need to use

       estimate(garch(1,0),x') 

in my if-loop, when I get my error. How can I deal with this error, so matlab is going on with estimation the parameters in my if-loop?

Answer 1

I'm sure you probably know this but ask on MATLab on https://uk.mathworks.com/matlabcentral/answers/index?s_tid=mlc_an_ask I think you'll most likely get a quicker response!