GARCH Model
If positive and negative shocks of equal magnitude contribute equally to volatility, then you can model the innovations process using a GARCH model. For details on how to model volatility clustering using a GARCH model, seegarch
.
Apps
Econometric Modeler | Analyze and model econometric time series |
Functions
Examples and How To
Create Model
- Specify GARCH Models
Create GARCH models usinggarch
or the Econometric Modeler app. - Modify Properties of Conditional Variance Models
使用点notat更改可修改的模型属性ion. - Specify the Conditional Variance Model Innovation Distribution
Specify Gaussian or t distributed innovations process. - Specify Conditional Variance Model for Exchange Rates
Create a conditional variance model for daily Deutschmark/British pound foreign exchange rates. - Specify Conditional Mean and Variance Models
Create a composite conditional mean and variance model.
Fit Model to Data
- Select ARCH Lags for GARCH Model Using Econometric Modeler App
Interactively select the appropriate number of ARCH and GARCH lags for a GARCH model of daily Deutschmark/British pound foreign exchange rates. - Compare Conditional Variance Model Fit Statistics Using Econometric Modeler App
交互式地指定和适合GARCH、EGARCH和GJR models to data. Then, determine the model that fits to the data the best by comparing fit statistics. - Estimate Conditional Mean and Variance Model
Estimate a composite conditional mean and variance model. - Perform GARCH Model Residual Diagnostics Using Econometric Modeler App
Interactively evaluate model assumptions after fitting data to a GARCH model by performing residual diagnostics. - Infer Conditional Variances and Residuals
Infer conditional variances from a fitted conditional variance model. - Likelihood Ratio Test for Conditional Variance Models
Fit two competing, conditional variance models to data, and then compare their fits using a likelihood ratio test. - Compare Conditional Variance Models Using Information Criteria
Compare the fits of several conditional variance models using AIC and BIC. - Share Results of Econometric Modeler App Session
Export variables to the MATLAB®Workspace, generate plain text and live functions that return a model estimated in an app session, or generate a report recording your activities on time series and estimated models in an Econometric Modeler app session.
Generate Monte Carlo Simulations
- Simulate Conditional Variance Model
simulate a conditional variance model. - Simulate GARCH Models
Simulate from a GARCH process with and without specifying presample data. - Simulate Conditional Mean and Variance Models
Simulate responses and conditional variances from a composite conditional mean and variance model.
Generate Minimum Mean Square Error Forecasts
- Forecast a Conditional Variance Model
Forecast the Deutschmark/British pound foreign exchange rate using a fitted conditional variance model. - Forecast Conditional Mean and Variance Model
Forecast responses and conditional variances from a composite conditional mean and variance model.
Concepts
- Econometric Modeler App Overview
The Econometric Modeler app is an interactive tool for visualizing and analyzing univariate or multivariate time series data.
- Specifying Univariate Lag Operator Polynomials Interactively
Specify univariate lag operator polynomial terms for time series model estimation using Econometric Modeler.
- Conditional Variance Models
Learn about models that account for volatility clustering.
- Maximum Likelihood Estimation for Conditional Variance Models
Learn how maximum likelihood is carried out for conditional variance models.
- Conditional Variance Model Estimation with Equality Constraints
Constrain the model during estimation using known parameter values.
- Presample Data for Conditional Variance Model Estimation
Specify presample data to initialize the model.
- Initial Values for Conditional Variance Model Estimation
Specify initial parameter values for estimation.
- Optimization Settings for Conditional Variance Model Estimation
Troubleshoot estimation issues by specifying alternative optimization options.
- Monte Carlo Simulation of Conditional Variance Models
Learn about Monte Carlo simulation.
- Presample Data for Conditional Variance Model Simulation
Learn about presample requirements for simulation.
- Monte Carlo Forecasting of Conditional Variance Models
Learn about Monte Carlo forecasting.
- MMSE Forecasting of Conditional Variance Models
Learn about MMSE forecasting.