Function Reference (GARCH Toolbox)

GARCH Toolbox

GARCH Modeling

garchfit
Univariate GARCH process parameter estimation.

garchpred
Univariate GARCH process forecasting.

garchsim
Univariate GARCH process simulation.

GARCH Innovations Inference

garchinfer

Inverse filter to infer GARCH innovations and conditional standard deviations from an observed return series.

Log-Likelihood Objective Functions

garchllfn

Univariate GARCH process objective function (Gaussian innovations).

Statistics and Tests

aicbic
Akaike and Bayesian information criteria for model order selection.

archtest
Engle's hypothesis test for the presence of ARCH/GARCH effects.

autocorr
Plot or return computed sample auto-correlation function.

crosscorr
Plot or return computed sample cross-correlation function.

lbqtest
Ljung-Box Q-statistic lack-of-fit hypothesis test.

lratiotest
Likelihood ratio hypothesis test.

parcorr
Plot or return computed sample partial auto-correlation function.

GARCH Specification Structure Interface Functions

garchget
Retrieve a GARCH specification structure parameter.

garchset

Create or modify a GARCH specification structure.

Helpers and Utilities

garchar
Convert finite-order ARMA models to infinite-order AR models.

garchcount
Count GARCH estimation coefficients.

garchdisp
Display GARCH process estimation results.

garchma
Convert finite-order ARMA models to infinite-order MA models.

lagmatrix
Create a lagged time series matrix.

price2ret
Convert price series to a return series.

ret2price
Convert return series to a price series.

Graphics

garchplot
Plot matched univariate innovations, volatility, and return series.

Function Reference Functions - Alphabetical List

`garchfit`	Univariate GARCH process parameter estimation.
`garchpred`	Univariate GARCH process forecasting.
`garchsim`	Univariate GARCH process simulation.

`aicbic`	Akaike and Bayesian information criteria for model order selection.
`archtest`	Engle's hypothesis test for the presence of ARCH/GARCH effects.
`autocorr`	Plot or return computed sample auto-correlation function.
`crosscorr`	Plot or return computed sample cross-correlation function.
`lbqtest`	Ljung-Box Q-statistic lack-of-fit hypothesis test.
`lratiotest`	Likelihood ratio hypothesis test.
`parcorr`	Plot or return computed sample partial auto-correlation function.

`garchget`	Retrieve a GARCH specification structure parameter.
`garchset`	Create or modify a GARCH specification structure.

`garchar`	Convert finite-order ARMA models to infinite-order AR models.
`garchcount`	Count GARCH estimation coefficients.
`garchdisp`	Display GARCH process estimation results.
`garchma`	Convert finite-order ARMA models to infinite-order MA models.
`lagmatrix`	Create a lagged time series matrix.
`price2ret`	Convert price series to a return series.
`ret2price`	Convert return series to a price series.