Preface
Using This Guide
Related Products
Typographical Conventions
Introduction
What Is the GARCH Toolbox?
Software Requirements and Compatibility
Expected Background
Technical Conventions
Examples
Tutorial
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
Glossary
Bibliography
Printable Documentation (PDF)
Product Page (Web)