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Code Listing by Alexandros Gabrielsen

Code 1-8 of 8   






ARMAX-GARCH Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications)

The ARMAX-GARCH Toolbox estimates, forecasts and simulates a large variety of ARMA and GARCH models with different distributions and for any order of AR(n), MA(m), ARCH (p) and GARCH (q) effects as well as it allows any number of factors in the mean and volatility process. Furthermore, the Toolbox allows the evaluation of volatility forecasts...



RiskMetrics.m: Estimates the univariate or multivariate RiskMetrics.

USAGE:
rm = RiskMetrics(data,alpha)

INPUTS:
data = ( m x n ) vector
lamba = the scale parameter
method = Univariate or...



The Toolbox forecasts the volatility of a (mxn) vector of data and from a variety of in-built / non-in-built GARCH models with various distributions, as well as the univariate RiskMetrics. The toolbox also estimates a number of Volatility Forecast...



The ARMAX-GARCH Toolbox estimates, forecasts and simulates a large variety of ARMA and GARCH models with different distributions and for any order of AR(n), MA(m), ARCH (p) and GARCH (q) effects as well as it allows any number of factors in the...



This toolbox estimates the following volatility loss functions:
1. Mean Square Error, MSE
2. Mean Absolute Deviation, MAD
3. Mean Logarithm of Absolute Errors, MLAE
4. Heteroskedasticity-adjusted Mean Square Error, HMSE
5....



This toolbox has been merged with the functionality with the ARMAX-GARCH Toolbox found here:

http://www.mathworks.com/matlabcentral/fil...sk-applications

Many thanks for your commends and suggestions.



It estimates the Newton Raphson optimization procedure for (m) unknowns of (n) non-linear equations. In case no Jacobian vector is presented, then the initial Jacobian vector is estimated by Broyden Method (multivariate secant approach) and it is...



The Extended GARCH Toolbox estimates a variety of GARCH models with different distributions and for any order of ARCH (p) and GARCH (q) effects.

The supported models are:
GARCH: Bollerslev (1986)
GJR-GARCH: Glosten et al....