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.
- GARCHM_VOL - GARCH-M Fitted Values of Conditional Volatility
- Exponential General Autoregressive Conditional Heteroskedastic (EGARCH) Model
- EGARCH - Defining an EGARCH Model
- EGARCH_CHECK - Check Parameters' Values for Model Stability
- EGARCH_GUESS - Initial Values for Model's Parameters
- EGARCH_CALIBRATE - Optimal Values for Model's Parameters
- EGARCH_ERRORS - Estimated Errors of the Parameters Values
- EGARCH_RESID - EGARCH Fitted Values of Standardized Residuals
- EGARCH_LLF - Log Likelihood Function of an EGARCH Model
- EGARCH_AIC - EGARCH Model's Akaike's Information Criterion (AIC)
- EGARCH_VOL - EGARCH Fitted Conditional Volatility Values
- EGARCH_FORE - Forecasting for EGARCH Model
- EGARCH_FORECI - Forecasting Confidence Interval of EGARCH Model
- EGARCH_FORESD - Volatility Forecast of EGARCH Model
- EGARCH_VL - Long-Run Volatility of the EGARCH Model
- EGARCH_SIM - Simulated Values of an EGARCH Model