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R2012a Documentation → Econometrics Toolbox
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Contents

Index

• Getting Started

Model Selection

Econometrics Toolbox Features

Model Properties

Retrieve Model Properties

Modify Model Properties

Stochastic Processes

Stationary Processes

General Linear Model

Lag Operator Representation

• User's Guide

• Data Preprocessing

• Model Selection

• Conditional Mean Models

• Conditional Variance Models

Conditional Variance Models

• Specify GARCH Models Using garch

Default GARCH Model

Specify Name-Value Pairs

• GARCH Model Specifications

Default GARCH Model

GARCH Model with a Mean Offset

GARCH Model with Nonconsecutive Lags

GARCH Model with Known Parameter Values

GARCH Model with a t Innovation Distribution

• Specify EGARCH Models Using egarch

Default EGARCH Model

Use Name-Value Pairs

• EGARCH Model Specifications

Default EGARCH Model

EGARCH Model with a Mean Offset

EGARCH Model with Nonconsecutive Lags

EGARCH Model with Known Parameter Values

EGARCH Model with a t Innovation Distribution

• Specify GJR Models Using gjr

Default GJR Model

Use Name-Value Pairs

• GJR Model Specifications

Default GJR Model

GJR Model with a Mean Offset

GJR Model with Nonconsecutive Lags

GJR Model with Known Parameter Values

GJR Model with a t Innovation Distribution

• Modify Properties of Conditional Variance Model Objects

Nonmodifiable Properties

Specify the Conditional Variance Model Innovation Distribution

Specify a Conditional Variance Model for Foreign Exchange Rate Returns

• Maximum Likelihood Estimation for Conditional Variance Models

Innovation Distribution

Loglikelihood Functions

Conditional Variance Model Estimation with Equality Constraints

Presample Data for Conditional Variance Model Estimation

Initial Values for Conditional Variance Model Estimation

• Optimization Settings for Conditional Variance Model Estimation

Options Data Structure

Conditional Variance Model Constraints

Infer Conditional Variances and Residuals

Compare Conditional Variance Models Fit to Foreign Exchange Rate Returns

Compare Conditional Variance Model Fits Using Information Criteria

• Monte Carlo Simulation of Conditional Variance Models

What Is Monte Carlo Simulation?

Generate Monte Carlo Sample Paths

Monte Carlo Error

Presample Data for Conditional Variance Model Simulation

Simulate GARCH Models

Assess the EGARCH Forecast Bias Using Simulations

Simulate Foreign Exchange Rate Returns

• Monte Carlo Forecasting of Conditional Variance Models

Monte Carlo Forecasts

Advantage of Monte Carlo Forecasting

• MMSE Forecasting of Conditional Variance Models

What Are MMSE Forecasts?

EGARCH MMSE Forecasts

How forecast Generates MMSE Forecasts

Forecast GJR Models

Forecast the Conditional Variance of Foreign Exchange Rate Returns

• garchfit Specification Structures

• Multivariate Time Series Models

• Stochastic Differential Equations

Data Sets, Demos, and Example Functions

• Release Notes

Conditional Variance Models

Forecast NASDAQ Returns and Conditional Variances

Forecast NASDAQ Returns and Conditional Variances

Conditional Variance Models

Conditional Variance Models

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