Publisher's Synopsis
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. This book focuses on conditional variance models. Conditional variance models attempt to address volatility clustering in univariate time series models to improve parameter estimates and forecast accuracy. To model volatility, Econometrics Toolbox supports the standard generalized autoregressive conditional heteroscedastic (ARCH/GARCH) model, the exponential GARCH (EGARCH) model, and the Glosten, Jagannathan, and Runkle (GJR) model."
