MFE Toolbox and UCSD GARCH Toolbox
Kevin Sheppard 开发的MATLAB工具箱,其中GARCH toolbox 开发的早,后来又做了MFE toolbox,都是处理金融时间序列的,模型基本都是八九十年代的GARCH模型及其扩展,MFE toolbox特别包含了 realized variance。,但是 GARCH toolbox 包含了各类BEKK 和 DCC模型。
具体如下:
http://www.kevinsheppard.com/wiki/MFE_Toolbox
High Level List of Functions
- Regression
- ARMA Simulation
- ARMA Estimation
- Heterogeneous Autoregression
- Information Criteria
- ARMA Forecasting
- Sample autocorrelation and partial autocorrelation
- Theoretical autocorrelation and partial autocorrelation
- Testing for serial correlation
- Ljung-BoxQ Statistic
- LM Serial Correlation Test
- Filtering
- Baxter-King Filtering
- Hodrick-Prescott Filtering
- Regression with Time Series Data
- Long-run Covariance Estimation
- Newey-West covariance estimation
- Den Hann-Levin covariance estimation
- Nonstationary Time Series
- Unit Root Testing
- Augmented Dickey-Fuller testing
- Augmented Dickey-Fuller testing with automated lag selection
- Vector Autoregressions
- Granger Causality Testing: grangercause
- Impulse Response function calculation
- Volatility Modeling
- ARCH/GARCH/AVARCH/TARCH/ZARCH Simulation
- EGARCH Simulation
- APARCH Simulation
- FIGARCH Simulation
- GARCH Model Estimation
- ARCH/GARCH/GJR-GARCH/TARCH/AVGARCH/ZARCH Estimation
- EGARCH Estimation
- APARCH Estimation
- AGARCH and NAGARCH estimation
- IGARCH estimation
- FIGARCH estimation
- Density Estimation
- Kernel Density Estimation
- Distributional Fit Testing
- Jarque-Bera Test
- Kolmogorov-Smirnov Test
- Berkowitz Test
- Bootstraps
- Block Bootstrap
- Stationary Bootstrap
- Multiple Hypothesis Tests
- Reality Check and Test for Superior Predictive Accuracy
- Model Confidence Set
- Multaivariate GARCH
- CCC MVGARCH
- Scalar Variance Targetting VECH
- MATRIX GARCH
- Realized Measures
- Realized Variance
- Realized Covariance
- Realized Kernels
- Multivariate Realized Kernels
- Realized Quantile Variance
- Two-scale Realized Variance
- Multi-scale Realized Variance
- Realized Range
- QMLE Realized Variance
- Min Realized Variance, Median Realized Variance (MinRV, MedRV)
- Integrated Quarticity Estimation
Functions Missing from Previous UCSD GARCH Toolbox
The following list of function have not been updated and so if needed, youshould continue to use the UCSD_GARCH code.
- GARCH in mean
- DCC MVGARCH
- IDCC MVGARCH
- Scalar BEKK
- Diagonal BEKK
- Full BEKK
- OGARCH
- Ljung-Box Q Test
- lmtest2 -> Use lmtest1 on squared data
- Shapirowilks
- Shapirofrancia