Exponential, generalized, autoregressive, conditional heteroscedasticity models for volatility clustering.

If positive and negative shocks of equal magnitude asymmetrically contribute to volatility, then you can model the innovations process using an EGARCH model and include leverage effects. For details on how to model volatility clustering using an EGARCH model, see Using egarch Objects.

Using Objects

egarch EGARCH conditional variance time series model


Create Model

egarch Create EGARCH conditional variance model object

Fit Model to Data

estimate Fit conditional variance model to data
infer Infer conditional variances of conditional variance models
print Display parameter estimation results for conditional variance models

Generate Monte Carlo Simulations

simulate Monte Carlo simulation of conditional variance models
filter Filter disturbances through conditional variance model

Generate Minimum Mean Square Error Forecasts

forecast Forecast conditional variances from conditional variance models
Was this topic helpful?