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.
References in zbMATH (referenced in 1 article )
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- Mamon, Rogemar S.; Erlwein, Christina; Gopaluni, R.Bhushan: Adaptive signal processing of asset price dynamics with predictability analysis (2008)