| GARCH Toolbox |
 |
- What Is the GARCH Toolbox?
- Related Products
- Prerequisites
- Compatibility
- Using This Guide
- Organization of the Document
- Expected Background
- Technical Conventions
- Typographical Conventions
- GARCH Overview
- Introducing GARCH
- Using GARCH to Model Financial Time Series
- GARCH Toolbox Overview
- Models for the Conditional Mean and Variance
- Conventions and Clarifications
- The Default Model
- Analysis and Estimation Example Using the Default Model
- Pre-Estimation Analysis
- Parameter Estimation
- Post-Estimation Analysis
- The GARCH Specification Structure
- Purpose of the Specification Structure
- Contents of the Specification Structure
- Valid Model Specifications
- Accessing Specification Structures
- Using the Specification Structure for Estimation, Simulation, and Forecasting
- Simulation
- Simulating Sample Paths
- Transients in the Simulation Process
- A General Simulation Example
- Forecasting
- Computing a Forecast
- Computing Root Mean Square Errors (RMSE)
- Asymptotic Behavior for Long-Range Forecast Horizons
- Conditional Mean Models with Regression Components
- Incorporating a Regression Model in an Estimation
- Simulation and Inference Using a Regression Component
- Forecasting Using a Regression Component
- Regression in a Monte Carlo Framework
- Model Selection and Analysis
- Likelihood Ratio Tests
- Akaike and Bayesian Information Criteria
- Equality Constraints and Parameter Significance
- Equality Constraints and Initial Parameter Estimates
- Recommendations and Suggestions
- Simplicity/Parsimony
- Convergence Issues
- Initial Parameter Estimates
- Boundary Constraints and Statistical Inferences
- Data Size and Quality
- Functions by Category
- Alphabetical List of Functions
- aicbic
- archtest
- autocorr
- crosscorr
- garchar
- garchcount
- garchdisp
- garchfit
- garchget
- garchinfer
- garchllfn
- garchma
- garchplot
- garchpred
- garchset
- garchsim
- lagmatrix
- lbqtest
- lratiotest
- parcorr
- price2ret
- ret2price
| | Using the GARCH Toolbox | |