Matlab 中 GARCH 工具箱下载,garch-toolbox

garch-toolbox

所属分类：matlab例程

开发工具：matlab

文件大小：1146KB

下载次数：46

上传日期：2013-06-17 18:02:14

上 传 者：hfhf911

说明：  MATLAB GARCH工具箱，是学习MATLAB工具箱的首选工具书。

(The GARCH Toolbox, combined with MATLAB and the Optimization and

Statistics Toolboxes, provides an integrated computing environment for

modeling the volatility of univariate economic time series. The GARCH

Toolbox uses a general ARMAX conditional mean model combined with a

conditional variance model of GARCH, GJR, or EGARCH form to perform

simulation, forecasting, and parameter estimation of univariate time series in

the presence of conditional heteroscedasticity. Supporting functions perform

tasks such as pre- and postestimation diagnostic testing, hypothesis testing of

residuals, model order selection, and time-series transformations. Graphics

capabilities let you plot correlation functions and visually compare matched

innovations, volatility, and return series.)

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garch toolbox.pdf,1858596,2011-11-30

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