Matlab in finance (log returns)

Hey guys, is there anyone who could help me or give me a hint on how to do this exercise? Any kind of help will be much appreciated :)

Consider the following autoregressive distributed lag model (ARMAX model): rt = 0.1 + 0.2rt−1 + 0.4r ∗ t−1 + 0.3r ∗ t−2 + at, where rt denotes the log return from the ABC stock index and r ∗ t denotes the return from the DJ index (both given in percentages). What is the impact of a rise in a DJ index by a 1 p.p. in time t on the ABC index in time t, t + 1, t + 2, t + 3 and what is its long-term impact (t → ∞)? Derive this impact analytically and plot it with Matlab. Derive both, impulse-response function and the cumulative impulse-response function.

Answer 1

[Cris LaPierre]

There are a couple examples in the documentation you could try to follow. Here's the first one I found:

Estimate Models Using armax

This uses the armax function (in the Systems Identification Toolbox)