GARCH Toolbox™Comparing Forecasts with Simulation Results   Functions — Alphabetical List
  

Function Reference

Click for Alphabetical List Alphabetical List
Data PreprocessingFilters, smoothers, and transformations
GARCH Specification StructureManipulate GARCH specification structures
GARCH ModelingModel estimation, forecasting, and Monte Carlo simulation
General UtilitiesUtilities for general GARCH modeling tasks
GraphicsTime series visualization
Statistics and TestsCompute statistics and perform tests

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Data Preprocessing

hpfilterRun Hodrick-Prescott filter

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GARCH Specification Structure

garchgetGet value of GARCH specification structure parameter
garchsetCreate or modify GARCH specification structure

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GARCH Modeling

garchfitEstimate univariate GARCH process parameters
garchpredPerform univariate GARCH process forecasting
garchsimPerform univariate GARCH process simulation

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General Utilities

garcharConvert finite-order ARMA models to infinite-order autoregressive (AR) models
garchcountCount number of GARCH estimation coefficients
garchdispDisplay GARCH process estimation results
garchinferInfer GARCH innovation processes from return series
garchmaConvert finite-order ARMA models to infinite-order moving average (MA) models
lagmatrixCreate lagged time-series matrix
price2retConvert price series to return series
ret2priceConvert return series to price series

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Graphics

garchplotPlot matched univariate innovations, volatility, and return series

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Statistics and Tests

aicbicCalculate Akaike (AIC) and Bayesian (BIC) information criteria for model order selection
archtestRun Engle's hypothesis test to detect presence of ARCH/GARCH effects
autocorrPlot or return computed sample autocorrelation function
crosscorrPlot or return computed sample cross-correlation function
dfARDTestRun augmented Dickey-Fuller unit root test based on AR model with drift
dfARTestRun augmented Dickey-Fuller unit root test based on zero drift AR model
dfTSTestRun augmented Dickey-Fuller unit root test based on trend stationary AR model
lbqtestRun Ljung-Box Q-statistic lack-of-fit hypothesis test
lratiotestRun Likelihood ratio hypothesis test
parcorrPlot or return computed sample partial autocorrelation function
ppARDTestRun Phillips-Perron unit root test based on AR(1) model with drift
ppARTestRun Phillips-Perron unit root test based on zero drift AR(1) model
ppTSTestRun Phillips-Perron unit root test based on trend stationary AR(1) model
  

Comparing Forecasts with Simulation ResultsComparing Forecasts with Simulation Results Functions — Alphabetical ListFunctions — Alphabetical List

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