GARCH Toolbox

Function Reference

This section gives you access to the GARCH function reference pages:

• By category
• Alphabetically

Functions by Category

This section lists the GARCH Toolbox functions according to their purpose.

Univariate GARCH Modeling

Function	Purpose
garchfit	Univariate GARCH process parameter estimation.
garchpred	Univariate GARCH process forecasting.
garchsim	Univariate GARCH process simulation.

Univariate GARCH Innovations Inference

Function	Purpose
garchinfer	Inverse filter to infer GARCH innovations and conditional standard deviations from an observed return series.

Log-Likelihood Objective Functions

Function	Purpose
garchllfn	Univariate GARCH process objective function (Gaussian innovations).

Statistics and Tests

Function	Purpose
aicbic	Akaike and Bayesian information criteria for model order selection.
archtest	Engle's hypothesis test for the presence of ARCH/GARCH effects.
autocorr	Plot or return computed sample auto-correlation function.
crosscorr	Plot or return computed sample cross-correlation function.
lbqtest	Ljung-Box Q-statistic lack-of-fit hypothesis test.
lratiotest	Likelihood ratio hypothesis test.
parcorr	Plot or return computed sample partial auto-correlation function.

GARCH Specification Structure Interface Functions

Function	Purpose
garchget	Retrieve a GARCH specification structure parameter.
garchset	Create or modify a GARCH specification structure.

Helpers and Utilities

Function	Purpose
garchar	Convert finite-order ARMA models to infinite-order AR models.
garchcount	Count GARCH estimation coefficients.
garchdisp	Display GARCH process estimation results.
garchma	Convert finite-order ARMA models to infinite-order MA models.
lagmatrix	Create a lagged time series matrix.
price2ret	Convert price series to a return series.
ret2price	Convert return series to a price series.

Graphics

Function	Purpose
garchplot	Plot matched univariate innovations, volatility, and return series.

Reference

Alphabetical List of Functions