GARCH Toolbox

Analysis and Estimation Example Using the Default Model

The example in this section uses the GARCH Toolbox default model to examine the equity series of a hypothetical company, the XYZ Corporation. It uses the default model to estimate the parameters needed to model the series. Specifically, the example:

1. Performs a pre-estimation analysis to determine if the data is heteroskedastic and can be modeled using GARCH
2. Estimates the parameters for the default model
3. Performs a post-estimation analysis to confirm that the default model explains the heteroscedasticity present in the data

Note    Due to platform differences, the estimation results you obtain when you recreate the examples in this chapter may differ from those shown in the text. These differences will propagate through any subsequent examples that use the estimation results as input, and may cause the numerical output of some examples to differ markedly from the text. These differences, however, do not affect the outcome of the examples.

The Default Model

Pre-Estimation Analysis