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

versión 1.0.0.0 (91.9 KB) por MathWorks Quant Team
This is the file used in the video demo titled "Creating GARCH Models using Econometric Modeler App"

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Actualizada 19 Mar 2018

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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.

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MathWorks Quant Team (2022). 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. Recuperado .

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