| GARCH Toolbox |
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- Using This Guide
- Related Products
- Typographical Conventions
- What Is the GARCH Toolbox?
- Software Requirements and Compatibility
- Expected Background
- Technical Conventions
- GARCH Overview
- Introducing GARCH
- Using GARCH to Model Financial Time Series
- GARCH Toolbox Overview
- Models for the Conditional Mean and Variance
- Conventions and Clarifications
- The Default Model
- Analysis and Estimation Example Using the Default Model
- Pre-Estimation Analysis
- Parameter Estimation
- Post-Estimation Analysis
- The GARCH Specification Structure
- Purpose of the Specification Structure
- Contents of the Specification Structure
- Valid Model Specifications
- Accessing Specification Structures
- Using the Specification Structure for Estimation, Simulation, and Forecasting
- Simulation
- Simulating Sample Paths
- Transients in the Simulation Process
- A General Simulation Example
- Forecasting
- Computing a Forecast
- Computing Root Mean Square Errors (RMSE)
- Asymptotic Behavior for Long-Range Forecast Horizons
- Conditional Mean Models with Regression Components
- Incorporating a Regression Model in an Estimation
- Simulation and Inference Using a Regression Component
- Forecasting Using a Regression Component
- Regression in a Monte Carlo Framework
- Model Selection and Analysis
- Likelihood Ratio Tests
- Akaike and Bayesian Information Criteria
- Equality Constraints and Parameter Significance
- Equality Constraints and Initial Parameter Estimates
- Recommendations and Suggestions
- Simplicity/Parsimony
- Convergence Issues
- Initial Parameter Estimates
- Boundary Constraints and Statistical Inferences
- Data Size and Quality
- Functions - By Category
- GARCH Modeling
- GARCH Innovations Inference
- Log-Likelihood Objective Functions
- Statistics and Tests
- GARCH Specification Structure Interface Functions
- Helpers and Utilities
- Graphics
- Functions - Alphabetical List
| | Preface | |