GARCH Toolbox™ 2.4

Product Description

• Introduction and Key Features
• Simulation, Forecasting, and Parameter Estimation
• Conditional Variance Modeling
• Graphical Analysis and Data Manipulation

Introduction

The GARCH Toolbox extends the Financial Toolbox with functions specific to volatility modeling. The GARCH Toolbox enables financial professionals to perform Monte Carlo simulation of univariate returns, generate minimum mean square error forecasts, perform pre- and post-estimation diagnostic and hypothesis testing, and estimate parameters of general ARMAX/GARCH composite models.

Key Features

• Monte Carlo simulation of univariate returns, innovations, and conditional volatilities
• Minimum mean square error forecasts of the conditional mean and conditional variance of univariate return series
• Parameter estimation using general ARMAX conditional mean models and GARCH, GJR, or EGARCH conditional variance models
• Pre- and postestimation diagnostic and hypothesis testing, such as Engle's ARCH test, Ljung-Box Q-statistic test, likelihood ratio tests, and AIC/BIC model order selection
• Graphical correlation analysis, including autocorrelation, cross correlation, and partial autocorrelation
• Support for converting price/return series to return/price series and transforming finite-order ARMA models to infinite-order AR and MA models