MATNEM

The MATNEM Toolbox is a set of MATLAB objects and classes which provides an interface to the Numerical Econometrics Library, a library of econometric routines written in the C language. The aim of the project is to provide an easy, quick, and object-oriented interface for applied econometric analysis. The NEM library also ensures a good level of performance. Among other features, the MATNEM toolbox contains time series data objects, ultra high-frequency data management algorithms, nonlinear estimation routines (ARMA, multiplicative error models (GARCH, ACD)), and frequentist model averaging algorithms (linear regression model, multiplicative error models (GARCH, ACD)). (Source: http://freecode.com/)