Learn more about Econometrics Toolbox

Function Reference

Alphabetical List

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Data Preprocessing GARCH Modeling Model Specification Model Visualization Multiple Time Series Statistics and Tests Stochastic Differential Equations Utilities

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Data Preprocessing

hpfilter

Hodrick-Prescott filter

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GARCH Modeling

garchfit	Estimate univariate GARCH process parameters
garchpred	Univariate GARCH process forecasting
garchsim	Univariate GARCH process simulation

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Model Specification

garchget	Get value of GARCH specification structure parameter
garchset	Create or modify GARCH specification structure

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Model Visualization

garchplot

Plot GARCH innovations, volatility, and return series

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Multiple Time Series

vgxar	Convert VARMA model to pure VAR model
vgxcount	Count total and active parameters in multivariate time series model
vgxdisp	Display multivariate time series model parameters and standard errors in different formats
vgxget	Get multivariate time series specification parameters
vgxinfer	Infer innovations of multivariate time series process
vgxloglik	Loglikelihoods of multivariate time series process
vgxma	Convert VARMA model to pure VMA model
vgxplot	Plot multivariate time series process
vgxpred	Transient forecast response of multivariate time series process
vgxproc	Multivariate time series process generated from innovations process
vgxqual	Qualify multivariate time series process
vgxset	Create or modify multivariate time series specification
vgxsim	Simulate multivariate time series process
vgxvarx	Calibration of VAR or VARX models

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Statistics and Tests

adftest	Augmented Dickey-Fuller test for unit root
aicbic	Akaike and Bayesian information criteria
archtest	Engle's ARCH test
autocorr	Autocorrelation
crosscorr	Cross-correlation
kpsstest	KPSS stationarity test
lbqtest	Ljung-Box Q-test
lmtest	Lagrange multiplier test
lratiotest	Likelihood ratio test
parcorr	Partial autocorrelation
pptest	Phillips-Perron unit root test
vratiotest	Variance ratio test for random walk
waldtest	Wald test

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Stochastic Differential Equations

bm	Brownian motion models
cev	Construct constant elasticity of variance models (objects of class CEV)
cir	Cox-Ingersoll-Ross mean-reverting square root diffusion models
diffusion	Construct diffusion-rate model components
drift	Construct drift-rate model components
gbm	Geometric Brownian motion models
heston	Heston stochastic volatility models
hwv	Hull-White/Vasicek mean-reverting Gaussian diffusion models
interpolate	Brownian interpolation of stochastic differential equations
sde	Construct stochastic differential equation models
sdeddo	Construct stochastic differential equation from drift and diffusion models
sdeld	Construct stochastic differential equation from linear drift-rate models
sdemrd	Construct stochastic differential equation from mean-reverting drift-rate models
simByEuler	Euler simulation of stochastic differential equations (SDEs)
simBySolution	Simulate approximate solution of diagonal-drift HWV and GBM processes
simulate	Simulate multivariate stochastic differential equations (SDEs)
ts2func	Convert time series to functions of time and state

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Utilities

garchar	Convert finite-order ARMA models to infinite-order AR models
garchcount	Count number of GARCH estimation coefficients
garchdisp	Display GARCH process estimation results
garchinfer	Infer GARCH innovation processes from return series
garchma	Convert finite-order ARMA models to infinite-order MA models
lagmatrix	Lagged time series matrix
price2ret	Convert price series to return series
ret2price	Convert return series to price series

Performance Considerations

Functions — Alphabetical List

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