Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Mar 19

Oxford MFE UCSD GARCH toolbox

Posted by abiao at 18:20 | Code » Matlab | Comments(0) | Reads(11164)
The Oxford MFE Toolbox is the follow on to the UCSD GARCH toolbox. It has been widely used by students here at Oxford, and represents a substantial improvement in robustness over the original UCSD GARCH code, although in its current form it only contains univariate routines.

Contents include:
1 Stationary Time Series 5
1.1 ARMA Simulation
1.1.1 Simulation: armaxfilter_simulate . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.2 ARMA Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.2.1 Estimation: armaxfilter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.2.2 Residual Plotting: tsresidualplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.2.3 Characteristic Roots: armaroots . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
1.2.4 Information Criteria: aicsbic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.3 ARMA Forecasting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.3.1 Forecasting: arma_forecaster . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.4 Sample autocorrelation and partial autocorrelation . . . . . . . . . . . . . . . . . . . . . . . 23
1.4.1 Sample Autocorrelations: sacf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
1.4.2 Sample Partial Autocorrelations: spacf . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.5 Theoretical autocorrelation and partial autocorrelation . . . . . . . . . . . . . . . . . . . . . 27
1.5.1 ARMA Autocorrelations: acf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
1.5.2 ARMA Partial Autocorrelations: pacf . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
1.6 Testing for serial correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
1.6.1 Ljung-BoxQ Statistic: ljungbox . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
1.6.2 LM Serial Correlation Test: lmtest1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2 Nonstationary Time Series 37
2.1 Unit Root Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.1.1 Augmented Dickey-Fuller testing: augdf . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.1.2 Augmented Dickey-Fuller testing with automated lag selection: augdfautolag . . . . 40
3 Vector Autoregressions 43
3.1 Stationary Vector Autoregression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.1.1 Vector Autoregression estimation: vectorar . . . . . . . . . . . . . . . . . . . . . . . 43
3.1.2 Granger Causality Testing: grangercause . . . . . . . . . . . . . . . . . . . . . . . . 50
3.1.3 Impulse Response function calculation: impulseresponse . . . . . . . . . . . . . . 53
4 Volatility Modeling 57
4.1 GARCH Model Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
4.1.1 ARCH/GARCH/GJR-GARCH/TARCH/AVGARCH/ZARCH Estimation: tarch . . . . . . 57
4.1.2 Some behind the scenes choices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
4.1.3 EGARCH Estimation: egarch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
4.1.4 APARCH Estimation: aparch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
5 Density Estimation 71
5.1 Kernel Density Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71

Code and documention are available at: http://www.kevinsheppard.com/wiki/MFE_Toolbox


Tags:
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]