File Exchange

image thumbnail

Creating GARCH Models using Econometric Modeler App (File for video demo)

version (91.9 KB) by Kawee Numpacharoen
This is the file used in the video demo titled "Creating GARCH Models using Econometric Modeler App"


Updated 19 Mar 2018

View License

In this demo, we retrieve the historical data of S&P500, remove missing data, and convert them into timetable format. Following, we used Econometric Modeler App to fit 3 GARCH models: GARCH(1,1), EGARCH(1,1), and GJR(1,1). Lastly, we showed how to perform simulation and forecasting using the selected GARCH model.

Comments and Ratings (4)

Hi NS,

Unfortunately, our GARCH framework does not support GARCH-in-mean specification.


Sorry, I have just seen your question. I will ask someone in my econometrics team to get the answer shortly.


How can i implement GARCH in Mean model with dummy variable in conditional variable equation?


MATLAB Release Compatibility
Created with R2018a
Compatible with any release
Platform Compatibility
Windows macOS Linux