GARCH Toolbox

Model Selection and Analysis

The GARCH Toolbox offers a number of model selection tools.

The section Analysis and Estimation Example Using the Default Model illustrates the use of the autocorrelation (autocorr) and partial autocorrelation (parcorr) functions as qualitative guides in the process of model selection and assessment. It also introduces the archtest and lbqtest hypothesis testing functions.

This section discusses:

• Likelihood Ratio Tests (lratiotest)
• Akaike and Bayesian Information Criteria (aicbic)
• Equality Constraints and Parameter Significance
• Equality Constraints and Initial Parameter Estimates

The examples that follow again rely on the daily returns of the XYZ Corporation. If the variables no longer exist in your MATLAB workspace, you can recreate them with the commands,

• load xyz
  xyz = price2ret(prices);
  

Regression in a Monte Carlo Framework

Likelihood Ratio Tests