Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling economic data. You can select and calibrate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, and cointegration analysis. It also provides methods for modeling economic systems using state-space models and for estimating using the Kalman filter. You can use a variety of diagnostic functions for model selection, including hypothesis, unit root, and stationarity tests.


Capabilities

Time-Series Modeling

Identify and test univariate and multivariate time-series models for financial and econometric data.

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Model Identification and Analysis

Select and test models by specifying a model structure, identifying the model order, estimating parameters, and evaluating residuals.

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State-Space Modeling and Parameter Estimation

Create state-space models and tools for estimating parameters based on these and other model types.

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Monte Carlo Simulation

Perform Monte Carlo simulations to generate forecast distributions of both single and multiple time-series models.

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Forecasting

Forecast market trends to make budgeting, planning, investing, and policy decisions.

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Cointegration Modeling

Use Engle-Granger and Johansen methods for cointegration testing and modeling.

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Volatility Modeling

Build on time-varying volatility models.

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Product Resources

Discover more about Econometrics Toolbox by exploring these resources.

Documentation

Explore documentation for Econometrics Toolbox functions and features, including release notes and examples.

Functions

Browse the list of available Econometrics Toolbox functions.

System Requirements

View system requirements for the latest release of Econometrics Toolbox.

Technical Articles

View articles that demonstrate technical advantages of using Econometrics Toolbox.

User Stories

Read how Econometrics Toolbox is accelerating research and development in your industry.

Community and Support

Find answers to questions and explore troubleshooting resources.


Try or Buy

There are many ways to start using Econometrics Toolbox. Download a free trial, or explore pricing and licensing options.

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Have Questions?

Stuart

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Econometrics Toolbox Technical Expert

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