Epstein-Zin preferences are now part of the VFI Toolkit. Check out the example at

https://github.com/vfitoolkit/VFItoolkit-matlab-examples

Part of the promise of the switch to ‘parameters as structures’ in v1.1 of the VFI Toolkit was to allow more advanced functionality. This is the first of those promises to arrive. The example codes can be run as are if you have a GPU with 5gb of memory (eg., a Tesla K20). Otherwise you will need to activate vfoptions.lowmemory=1 (in which case you can also turn the grids up).

The example code for the Epstein-Zin preferences replicates (for given parameters) most of the results of Caldara, Fernandez-Villaverde, Rubio-Ramirez & Yao (2012) – Computing DSGE Models with Recursive Prefererences and Stochastic Volatility.