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

版本 1.0.0.0 (91.9 KB) 作者: MathWorks Quant Team
This is the file used in the video demo titled "Creating GARCH Models using Econometric Modeler App"
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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 (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. 检索时间: .

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1.0.0.0