Econometrics Toolbox

Volatility Modeling

Econometrics Toolbox has a complete set of tools for building 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 toolbox supports the simulation of stochastic volatility models, including the Heston model.

Estimating market risk using bootstrapping and filtered historical simulation technique. Plots show filtered residuals and volatility of portfolio returns from an AR(1)/EGARCH(1,1) model (top right), the simulated portfolio returns over a one-month horizon (left), and the probability distribution function (bottom right).

Evaluating Market Risk Using Extreme Value Theory and Copulas
Model the market risk of a hypothetical global equity index portfolio using Monte Carlo simulation.