GARCH Toolbox™ 2.4

Product Description

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

Simulation, Forecasting, and Parameter Estimation

The GARCH Toolbox enables you to perform Monte Carlo simulations of univariate returns, generate minimum mean square error forecasts, and perform pre- and post-estimation diagnostics of financial time series in the presence of conditional heteroscedasticity. For pre- and post-estimation diagnostic testing and hypothesis testing of residuals, the toolbox supports Engle’s ARCH test, Q-tests, likelihood ratio tests, and information criteria model order selection.

The toolbox also provides general econometric time series modeling capabilities, including simulation, estimation, and forecasting of autoregressive (AR), moving average (MA), ARMA, and regression models.