GARCH Toolbox

Using This Guide

Introduction introduces the GARCH Toolbox, lists toolboxes required by GARCH, and describes the intended audience as well as the use of common mathematical terms.

Tutorial provides a brief overview of GARCH, then demonstrates the use of the GARCH Toolbox by estimating GARCH model parameters, and performing pre- and post-estimation analysis. Chapter 1 continues with discussions of simulation, forecasting, and regression, as well as model selection and analysis.

Function Reference describes the individual functions that comprise the GARCH Toolbox. The description of each function includes a synopsis of the function syntax, as well as a complete explanation of its arguments and operation. It may also include examples and references to additional reading material.

Glossary defines terms associated with modeling the volatility of economic time series.

Bibliography lists published materials that support concepts implemented in the GARCH Toolbox.

Preface

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