GARCH Toolbox

GARCH Toolbox Overview

This section discusses:

• Models for the Conditional Mean and Variance

Allowable models for describing conditional mean and variance to the GRACH Toolbox

• Conventions and Clarifications

MATLAB constructs and financial concepts as they are used in this manual

• The Default Model

The default model that is used as the basis of discussion in this manual

Using GARCH to Model Financial Time Series

Models for the Conditional Mean and Variance