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Econometrics Toolbox 1.2
Product Description
- Econometrics Toolbox Key Features
- Parameter Estimation
- Monte Carlo Simulation and Forecasting
- Volatility Modeling
- Sample Functions
Volatility Modeling
Econometrics Toolbox includes a focus on time-varying volatility models. The toolbox supports several variants of univariate GARCH models, including standard ARCH/GARCH models, as well as asymmetric EGARCH and GJR models designed to capture leverage effects in asset returns. The software supports the simulation of stochastic volatility models, including the Heston model.
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