MFE Toolbox and UCSD GARCH Toolbox

MFE Toolbox and UCSD GARCH Toolbox

Kevin Sheppard 开发的MATLAB工具箱，其中GARCH toolbox 开发的早，后来又做了MFE toolbox，都是处理金融时间序列的，模型基本都是八九十年代的GARCH模型及其扩展，MFE toolbox特别包含了 realized variance。，但是 GARCH toolbox 包含了各类BEKK 和 DCC模型。

具体如下：

http://www.kevinsheppard.com/wiki/MFE_Toolbox

High Level List of Functions

• Regression
• ARMA     Simulation
• ARMA     Estimation
  • Heterogeneous      Autoregression
  • Information      Criteria
• ARMA     Forecasting
• Sample     autocorrelation and partial autocorrelation
• Theoretical     autocorrelation and partial autocorrelation
• Testing for     serial correlation
  • Ljung-BoxQ      Statistic
  • LM Serial      Correlation Test
• Filtering
  • Baxter-King      Filtering
  • Hodrick-Prescott      Filtering
• Regression     with Time Series Data
• Long-run     Covariance Estimation
  • Newey-West covariance      estimation
  • Den      Hann-Levin covariance estimation
• Nonstationary     Time Series
• Unit Root     Testing
  • Augmented      Dickey-Fuller testing
  • Augmented      Dickey-Fuller testing with automated lag selection
• Vector     Autoregressions
  • Granger      Causality Testing: grangercause
  • Impulse      Response function calculation
• Volatility     Modeling
  • ARCH/GARCH/AVARCH/TARCH/ZARCH      Simulation
  • EGARCH      Simulation
  • APARCH      Simulation
  • FIGARCH      Simulation
• GARCH Model     Estimation
  • ARCH/GARCH/GJR-GARCH/TARCH/AVGARCH/ZARCH      Estimation
  • EGARCH      Estimation
  • APARCH      Estimation
  • AGARCH and      NAGARCH estimation
  • IGARCH      estimation
  • FIGARCH      estimation
• Density     Estimation
  • Kernel      Density Estimation
• Distributional     Fit Testing
  • Jarque-Bera      Test
  • Kolmogorov-Smirnov      Test
  • Berkowitz      Test
• Bootstraps
  • Block      Bootstrap
  • Stationary      Bootstrap
• Multiple     Hypothesis Tests
  • Reality      Check and Test for Superior Predictive Accuracy
  • Model      Confidence Set
• Multaivariate     GARCH
  • CCC MVGARCH
  • Scalar      Variance Targetting VECH
  • MATRIX GARCH
• Realized     Measures
  • Realized      Variance
  • Realized      Covariance
  • Realized      Kernels
  • Multivariate      Realized Kernels
  • Realized      Quantile Variance
  • Two-scale      Realized Variance
  • Multi-scale      Realized Variance
  • Realized      Range
  • QMLE      Realized Variance
  • Min Realized      Variance, Median Realized Variance (MinRV, MedRV)
  • Integrated      Quarticity Estimation

 

Functions Missing from Previous UCSD GARCH Toolbox

The following list of function have not been updated and so if needed, youshould continue to use the UCSD_GARCH code.

• GARCH in mean
• DCC MVGARCH
• IDCC MVGARCH
• Scalar BEKK
• Diagonal BEKK
• Full BEKK
• OGARCH
• Ljung-Box Q     Test
• lmtest2 ->     Use lmtest1 on squared data
• Shapirowilks
• Shapirofrancia