Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

Estimating VaR (conditional copula ga..., var, guassian copula)

varargout...

ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) by Alexandros Gabrielsen

ARMAX-GARCH-K Toolbox (agarch, statistics, apgarch)

[mu h]=egarchcore(parameters, data, ar, ma, x, p, q, y, m, ...

agarchcore(parameters, data, ar, ma, x, p, q, y, m, z, v, T...

apgarchcore(parameters, data, ar, ma, x, p, q, y, m, z, v, ...

GARCH Tool by Phil Goddard

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

fitparp function by Ali Najjar

fitparp estimate the parameters of specified GARCH marginals models (garch, gjr, var)

varargout=fitparp(spec,r,s)

fitModelpp function by Ali Najjar

is modified of fitModel function in the Dynamic Copula 3.0 (garch, fitparp, gjr)

fitModelpp(spec, data, solver)

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

This function estimate VaR of portfolio composed of two stocks return (copula, var, garch)

varargout=copula111cGarch111VaR(r,parameters,sigmaone,sigma...

In sample Value at Risk and backtesting with the Pearson type IV distribution by Stavros Stavroyiannis

Garch(1,1) model with Pearson type IV distribution innovations and Value at Risk backtesting (christoffersen, finance, garch)

results=varinPIV(data)

In sample value at risk and backtesting by Stavros Stavroyiannis

Garch model with Gaussian distribution and Value at Risk in sample backtesting. (kupiec, finance, garch)

results=varin(data)

Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou

Functions to estimate copula GARCH and copula Vine models. (copulas, copula vines, garch)

Introduction to Econometrics Toolbox by Maziar Motahari

The M-file for "Introduction to Econometrics Toolbox" webinar (econometrics, garch, var)

Introduction_To_Econometrics_Toolbox_Webinar.m

Simulation of stochastic processes and parameter estimation of 1-F interest rate models by Panagiotis Braimakis

Completed as a part of an assignment by Dionysia Angelakopoulou, Melina Esoglou & PB (ewma, analysis, interest rate paramet...)