MFE Toolbox and UCSD GARCH Toolbox

吉和同
2023-12-01

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 

 

 

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