GARCH Toolbox

MATLAB and the GARCH Toolbox provide an integrated computing environment for modeling the volatility of univariate economic time series. The GARCH Toolbox uses a general ARMAX/GARCH composite model to perform simulation, forecasting, and parameter estimation of univariate time series in the presence of conditional heteroskedasticity. Supporting functions perform tasks such as pre- and post-estimation 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.