GARCH Modeling tutorial video

The ARCH/GARCH modeling functionality automates the steps used to construct an ARCH model: guessing initial parameters, parameter validation, goodness of fit testing and residuals diagnosis.

To use this functionality, select the corresponding icon on the toolbar (or the menu item).

ARCH/GARCH icon on NumXL Toolbar

Point to the data sample on your worksheet, select the corresponding orders of the Autoregressive Conditional Heteroskedacity (ARCH) component model and the Moving Average (GARCH) component model, goodness of fit tests, residual diagnosis, and designate a location on your worksheet to print the model.

ARCH/GARCH wizard/dialog

Upon completion, the GARCH modeling function prints the selected model's parameters and tests/calculations in the designated location of your worksheet.

GARCH Model table



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