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Jul 25

A Matlab Toolbox for Univariate GARCH estimation

Posted by abiao at 17:59 | Code » Matlab | Comments(1) | Reads(21089)
The primary feature that differentiates GARCHKIT from other GARCH implementations in Matlab is its ability to incorporate covariates into the second moment. The current version of GARCHKIT, 1.0b3, allows univariate ARMA(P,Q)-GARCH(R,S) estimation and simulation using maximum likelihood. The conditional distribution may be normal, student's t or a mixture of two normals.

Version 1.1 now estimates and simulates FIGARCH and GARCH-in-Mean models.

Code can be downloaded at http://www-agecon.ag.ohio-state.edu/people/roberts.628/papers/research/garchkit/garchkit.html

thank you for the help
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