I have an excel file that analyzes value-at-risk for securities. I would like to have the excel spreadsheet call a function from matlab. The specific function I'd like to call is fattailed_garch from the MHE econometrics toolbox.
I'd like to send matlab a vector of returns, p and q (in this case, 1,1), error type (normal or studentst), and starting values. Then I'd like to get the 'answer' back from matlab, that is the paramaters, likelihood, robustSE, ht, and scores). Ideally, the function would return either all of those answers (probably on a fresh worksheet), or just the paramaters (in the form of an array).
The function would have to run on Excel 2007 and Matlab 2009A. The Matlab installation does NOT have Excel Link.
I don't want to cut and paste the vector and parameters manually. I'd like to have a function in Excel that allows Matlab to work out the garch parameters.
Hi,
What I could offer you is a script coded in matlab that gets the data from the excel file and send back the result to it.
It means you would need to run the algorithm from matlab package but once it is run the result are saved into the excel file. Matlab installations have always the excel import export files, anyway if the code will produce failures on your system I will send you also these files.
If you are interested or you have any quesion please contact me.
Best regards.