GARCH Toolbox™ 2.4

Product Description

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

Graphical Analysis and Data Manipulation

Graphics capabilities enable you to plot correlation functions and visually compare matched innovations, volatility, and return series. The GARCH Toolbox also provides utilities for manipulating time series data, converting price/return series to return/price series, and transforming finite-order ARMA models to infinite-order AR and MA models.



Contour plot of a log-likelihood function for a GARCH(1,1) model fitted to a typical equity return series. Click on image to see enlarged view.