G@RCH

G@RCH 6.1 is a software dedicated to the estimation and the forecasting of univariate and multivariate (G)ARCH models and many of its extensions. It can be used within OxMetrics or via the classic programming way (using OxEdit for instance) for those who have access to the Ox programming language. The available univariate models are all ARCH-type models. These include ARCH, GARCH, EGARCH, GJR, APARCH, IGARCH, RiskMetrics, FIGARCH , FIEGARCH , FIAPARCH and HYGARCH. They can be estimated by approximate (Quasi-) Maximum Likelihood under one of the four proposed distributions for the errors (Normal, Student-t, GED or skewed-Student). Moreover, ARCH-in-mean models are also available and explanatory variables can enter the conditional mean and/or the conditional variance equations.