Learning the GARCH Toolbox

• Introduction introduces the GARCH Toolbox and lists the technical conventions this document uses.
• GARCH Overview provides a brief overview of GARCH, then uses an example demonstrate estimation of the model parameters, as well as pre- and post-estimation analysis. An example shows the use of quantitative and qualitative correlation tests to check for ARCH/GARCH effects in the observed return series.
• GARCH Specification Structure explains the creation, modification, and use of a specification structure for describing conditional mean and variance models, and for controling the estimation process.
• Simulation tells you how to simulate sample paths for the return series, innovations, and standard deviations proccesses, while minimizing transient effects.
• Estimation describes the estimation, by maximum likelihood, of the parameters of the conditional mean and variance specifications for a specified univariate return series.
• Forecasting describes the prediction of the conditional mean and standard deviation of a univariate return series some number of periods into the future. It also discusses the computation of volatility forecasts of asset returns over multi-period holding intervals, and the standard errors of conditional mean forecasts.
• Regression Components in Conditional Mean Models explains the use of a regression component in the conditional mean model.
• Model Selection and Analysis discusses tests to help you determine the appropriateness of a specific GARCH model, and compare alternative models. It also explains how equality constraints can help you assess parameter significance.

  Finding Functions

Browse functions by following these links:

• Functions -- By Category
• Functions -- Alphabetical List

  Printing the Documentation

Printable versions of the GARCH Toolbox User's Guide and the GARCH Toolbox Release Notes are available in PDF format. The User's Guide is accessed on the MathWorks Web site.

  Related Products

The MathWorks provides several related products relevant to the tasks you can perform with the GARCH Toolbox.