GARCH Analysis
ARCH/GARCH Modeling
- Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model
- GARCH - Defining a GARCH Model
- GARCH_CHECK - Check parameters' values for model stability
- GARCH_LLF - GARCH Model's Log Likelihood Function
- GARCH_AIC - Akaike's Information Criterion (AIC) of an GARCH Model
- GARCH_FORE - Forecasting for GARCH Model
- GARCH_FORECI - Forecasting confidence interval of GARCH Model
- GARCH_FORESD - Volatility Forecast of GARCH Model
- GARCH_GUESS - Initial Values for Model's Parameters
- GARCH_CALIBRATE - Optimal Values for Model's Parameters
- GARCH_ERRORS - Estimated Errors of the Parameters values
- GARCH_RESID - GARCH fitted values of standardized residuals
- GARCH_VOL - GARCH fitted values of conditional volatility
- GARCH_SIM - Simulated values of an GARCH Model
- GARCH_VL - Long-run Volatility of the GARCH Model
- GARCH-in Mean (GARCH-M) Model
- GARCHM - Defining a GARCH-M Model
- GARCHM_AIC - Akaike's information criterion (AIC) for GARCH-M
- GARCHM_CALIBRATE - Optimal Values for Model's Parameters
- GARCHM_CHECK - Check parameters' values for model stability
- GARCHM_ERRORS - Estimated Errors of the Parameters values
- GARCHM_FORE - Forecasting for GARCH-M Model
- GARCHM_FORECI - Forecasting confidence interval of GARCH-M Model
- GARCHM_FORESD - Volatility Forecast of GARCH-M Model
- GARCHM_GUESS - Initial Values for Model's Parameters
- GARCHM_LLF - Log Likelihood Function of an GARCH-M Model
- GARCHM_MEAN - GARCH-M Model Fitted Values
- GARCHM_RESID - GARCH-M fitted values of standardized residuals
- GARCHM_SIM - Simulated values of an GARCH-M Model
- GARCHM_VL - Long-run Volatility of the GARCH-M Model