GARCH Toolbox Using the GARCH Toolbox Preface What Is the GARCH Toolbox? Related Products Prerequisites Compatibility Using This Guide Organization of the Document Expected Background Technical Conventions Typographical Conventions Tutorial GARCH Overview Introducing GARCH Using GARCH to Model Financial Time Series GARCH Toolbox Overview Models for the Conditional Mean and Variance Conventions and Clarifications The Default Model Analysis and Estimation Example Using the Default Model Pre-Estimation Analysis Parameter Estimation Post-Estimation Analysis The GARCH Specification Structure Purpose of the Specification Structure Contents of the Specification Structure Valid Model Specifications Accessing Specification Structures Using the Specification Structure for Estimation, Simulation, and Forecasting Simulation Simulating Sample Paths Transients in the Simulation Process A General Simulation Example Forecasting Computing a Forecast Computing Root Mean Square Errors (RMSE) Asymptotic Behavior for Long-Range Forecast Horizons Conditional Mean Models with Regression Components Incorporating a Regression Model in an Estimation Simulation and Inference Using a Regression Component Forecasting Using a Regression Component Regression in a Monte Carlo Framework Model Selection and Analysis Likelihood Ratio Tests Akaike and Bayesian Information Criteria Equality Constraints and Parameter Significance Equality Constraints and Initial Parameter Estimates Recommendations and Suggestions Simplicity/Parsimony Convergence Issues Initial Parameter Estimates Boundary Constraints and Statistical Inferences Data Size and Quality Index of Examples Reference Function Reference Functions by Category Alphabetical List of Functions aicbic archtest autocorr crosscorr garchar garchcount garchdisp garchfit garchget garchinfer garchllfn garchma garchplot garchpred garchset garchsim lagmatrix lbqtest lratiotest parcorr price2ret ret2price Glossary Bibliography Printable Documentation (PDF) Product Page (Web)