matlab garch预测,经济预测统计学GARCH model by Kelvin Sheppard (MFE toolbox)

The Oxford MFE Toolboxis the follow on to theUCSD_GARCH toolbox. It has been widely used by students here at Oxford, and represents a substantial improvement in robustness over the original UCSD GARCH code, although in its current form it only contains univariate routines.

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

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