GARCH Toolbox

GARCH Toolbox Overview

This section discusses:

• Models for the Conditional Mean and Variance

• Allowable models for describing conditional mean and variance to the GARCH Toolbox

• Conventions and Clarifications

• MATLAB constructs and financial concepts as they are used in this manual

• The Default Model

• The default model that is used as the basis of discussion in this manual

Using GARCH to Model Financial Time Series

Models for the Conditional Mean and Variance