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I am performing a monte-carlo simulation in MATLAB for the first order EGARCH model in which case I am simulating 100 paths of size 500 assuming Gaussian and Student's-t distributions for the innovations. I am getting problems in writing the matlab code for fitting an Egarch(1,1) to the simulated data. I'd be very grateful if someone helped me with the required algorithm {for getting the mean of the parameters over the number of paths (replications=100 in this case)}. Thanks in advance -Tim

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Can't you just use the standard MATLAB package? –  Bob Jansen Mar 8 '14 at 19:59

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