Creating GARCH Models using Econometric Modeler App (File for video demo)
バージョン 1.0.0.0 (91.9 KB) 作成者:
MathWorks Quant Team
This is the file used in the video demo titled "Creating GARCH Models using Econometric Modeler App"
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.
引用
MathWorks Quant Team (2024). Creating GARCH Models using Econometric Modeler App (File for video demo) (https://www.mathworks.com/matlabcentral/fileexchange/66516-creating-garch-models-using-econometric-modeler-app-file-for-video-demo), MATLAB Central File Exchange. 取得済み .
MATLAB リリースの互換性
作成:
R2018a
すべてのリリースと互換性あり
プラットフォームの互換性
Windows macOS Linuxカテゴリ
Help Center および MATLAB Answers で GJR Model についてさらに検索
タグ
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!バージョン | 公開済み | リリース ノート | |
---|---|---|---|
1.0.0.0 |