GARCH Toolbox™ 2.4

Product Description

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

Conditional Variance Modeling

Using the GARCH Toolbox, you can create a range of conditional mean and variance models. The toolbox supports several variants of GARCH (Generalized Autoregressive Conditional Heteroscedasticity) models, including standard ARCH/GARCH models, as well as asymmetric EGARCH and GJR models designed to capture leverage effects in asset returns.