Generalized, autoregressive, conditional heteroscedasticity models for volatility clustering

If positive and negative shocks of equal magnitude contribute equally to volatility, then you can model the innovations process using a GARCH model. For details on how to model volatility clustering using a GARCH model, see Using garch Objects.

Using Objects

garch GARCH conditional variance time series model


Create Model

garch Create GARCH 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
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