Function Reference

Alphabetical List  Class Reference

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Model Specification and Testing Univariate Time Series Analysis Multivariate Time Series Analysis Stochastic Differential Equations (SDE) Lag Operator Polynomials

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Model Specification and Testing

adftest	Augmented Dickey-Fuller test
aicbic	Akaike and Bayesian information criteria
archtest	Engle test for residual heteroscedasticity
autocorr	Sample autocorrelation
collintest	Belsley collinearity diagnostics
corrplot	Plot predictor correlations
crosscorr	Sample cross-correlation
egcitest	Engle-Granger cointegration test
i10test	Paired integration and stationarity tests
jcitest	Johansen cointegration test
jcontest	Johansen constraint test
kpsstest	KPSS test for stationarity
lbqtest	Ljung-Box Q-test for residual autocorrelation
lmctest	Leybourne-McCabe stationarity test
lmtest	Lagrange multiplier test of model specification
lratiotest	Likelihood ratio test of model specification
parcorr	Sample partial autocorrelation
pptest	Phillips-Perron test for one unit root
recessionplot	Add recession bands to time series plot
vratiotest	Variance ratio test for random walk
waldtest	Wald test of model specification

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Univariate Time Series Analysis

Data Filtering ARMAX/GARCH Specification ARMAX/GARCH Modeling ARMAX/GARCH Utilities

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Data Filtering

hpfilter

Hodrick-Prescott filter for trend and cyclical components

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ARMAX/GARCH Specification

garchget	Get ARMAX/GARCH model specification parameters
garchset	Set ARMAX/GARCH model specification parameters

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ARMAX/GARCH Modeling

garchfit	Estimate ARMAX/GARCH model parameters
garchinfer	Infer ARMAX/GARCH model innovations
garchplot	Plot ARMAX/GARCH model responses
garchpred	Forecast ARMAX/GARCH model responses
garchsim	Simulate ARMAX/GARCH model responses

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ARMAX/GARCH Utilities

garchar	Convert ARMA model to AR model
garchcount	Count ARMAX/GARCH model parameters
garchdisp	Display ARMAX/GARCH model parameters and statistics
garchma	Convert ARMA model to MA model
lagmatrix	Create matrix of lagged time series
price2ret	Convert prices to returns
ret2price	Convert returns to prices

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Multivariate Time Series Analysis

VARMAX Specification VARMAX Modeling VARMAX Utilities

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VARMAX Specification

vgxget	Get VARMAX model specification parameters
vgxset	Set VARMAX model specification parameters

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VARMAX Modeling

vgxinfer	Infer VARMAX model innovations
vgxplot	Plot VARMAX model responses
vgxpred	Forecast VARMAX model responses
vgxproc	Generate VARMAX model responses from innovations
vgxsim	Simulate VARMAX model responses
vgxvarx	Estimate VARX model parameters

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VARMAX Utilities

vartovec	Vector autoregression (VAR) to vector error-correction model (VEC)
vectovar	Vector error-correction (VEC) to vector autoregression (VAR)
vgxar	Convert VARMA model to VAR model
vgxcount	Count VARMAX model parameters
vgxdisp	Display VARMAX model parameters and statistics
vgxloglik	VARMAX model loglikelihoods
vgxma	Convert VARMA model to VMA model
vgxqual	Test VARMAX model for stability/invertibility

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Stochastic Differential Equations (SDE)

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General SDE

interpolate	Brownian interpolation of stochastic differential equations
sde	Create SDE model from user-specified functions
simByEuler	Euler simulation of stochastic differential equations (SDEs)
simulate	Simulate multivariate stochastic differential equations (SDEs)

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SDE from Drift and Diffusion Components (SDEDDO)

sdeddo	Create sdeddo model from Drift and Diffusion objects
simByEuler	Euler simulation of stochastic differential equations (SDEs)

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SDE with Linear Drift (SDELD)

sdeld

Construct stochastic differential equation from linear drift-rate models

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SDE with Mean-Reverting Drift (SDEMRD)

sdemrd

Construct stochastic differential equation from mean-reverting drift-rate models

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Brownian Motion (BM)

bm	Brownian motion models

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Geometric Brownian Motion (GBM)

gbm	Create GBM model
simByEuler	Euler simulation of stochastic differential equations (SDEs)
simBySolution	Simulate approximate solution of diagonal-drift HWV and GBM processes

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Heston Stochastic Volatility (HESTON)

heston

Create Heston model

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Hull-White/Vasicek Gaussian Diffusion (HWV)

hwv	Create HWV model
simBySolution	Simulate approximate solution of diagonal-drift HWV and GBM processes

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Cox-Ingersoll-Ross Square Root Diffusion (CIR)

cir	Cox-Ingersoll-Ross mean-reverting square root diffusion models

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Constant Elasticity of Variance (CEV)

cev	Construct constant elasticity of variance models (objects of class CEV)

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SDE Component Classes

diffusion	Construct diffusion-rate model components
drift	Construct drift-rate model components

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SDE Utilities

ts2func

Convert time series arrays to functions of time and state

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Lag Operator Polynomials

filter (LagOp)	Apply lag operator polynomial to filter time series
isEqLagOp (LagOp)	Determine if two LagOp objects are same mathematical polynomial
isNonZero (LagOp)	Find lags associated with nonzero coefficients of LagOp objects
isStable (LagOp)	Determine stability of lag operator polynomial
LagOp	Create lag operator polynomial (LagOp) object
minus (LagOp)	Lag operator polynomial subtraction
mldivide (LagOp)	Lag operator polynomial left division
mrdivide (LagOp)	Lag operator polynomial right division
mtimes (LagOp)	Lag operator polynomial multiplication
plus (LagOp)	Lag operator polynomial addition
reflect (LagOp)	Reflect lag operator polynomial coefficients around lag zero
toCellArray (LagOp)	Convert lag operator polynomial object to cell array

Performance Considerations

Class Reference

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