GARCH Analysis
This reference manual section covers NumXL's GARCH-family model functions, including parameter validation and calibration, sample data fitting, goodness-of-fit measures, residual diagnosis, model-based volatility forecasts (locality and term structure), and simulation.
- 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 a 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 a 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 a GARCH-M Model
- GARCHM_MEAN - GARCH-M Model Fitted Values
- GARCHM_RESID - GARCH-M Fitted Standardized Residuals.
- GARCHM_SIM - Simulated Values of a GARCH-M Model
- GARCHM_VL - Long-Run Volatility of the GARCH-M Model