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-------- Garch Estimation functions --------
armaxfilter : Function designed to provide a good ARMAX time series filter
armaxfilter_likelihood : [LLF] = armaxfilter_likelihood(parameters , regressand , regressors, ar , ma)
berkowitz : Performs a Kolmogorov-Smirnov test using the Berkowitz transform to a univariate normal
egarch : E_GARCH(P,Q) parameter estimation with different error distributions, the Normal, The T,
egarchlikelihood : EGARCHLIKELIHOOD(P,Q) likelihood function. Helper function to EGARCH
exppowcdf : Evaluates the Probabiliy a vector of observations x(Nx1)
exppowpdf : Evaluates the Probabiliy a vector of observations x(Nx1)
exppowrnd : Generates Deviates from the Exponential Power Distribution
fattailed_garch : FATTAILED_GARCH(P,Q) parameter estimation with different error distributions, the NOrmal, The T,
fattailed_garchlikelihood : likelihood for fattailed garch
fattailed_garchsimulate : FATTAILED_GARCH(P,Q) time series simulation
garchcore : Helper function part of UCSD_GARCH toolbox. Used if you do not use the MEX file.
garchlikelihood : [LLF, grad, hessian, h, scores, robustse] = garchlikelihood(parameters , data , p , q)
garchpq : GARCH(P,Q) parameter estimation with normal innovations using analytic derivatives
garchsimulate : GARCH(P,Q) time series simulation
gedcdf : Evaluates the Probabiliy a vector of observations x(Nx1)
gedpdf : Evaluates the Probabiliy a vector of observations x(Nx1)
gedrnd : Generates Deviates from the Generalized Error Distribution
jarquebera : Performs a Jarque-Bera test for normality. Uses the skewness and kurtosis to determine if a
kolmogorov : Performs a Kolmogorov-Smirnov test that the data are from a specified distribution
kscritical : This is a helper function for kolmorgorov that returns the appropriate critical value.
lagmatrix : Construct an X matrix and a Y vector for use in an AR regression
lilliefors : Perofmrs a lilliefors test for normality then the mean and variance are unknown
ljq2 : Helper function for looking at the squared redisuals of a garch process
lmtest1 : Performs an LM test for the presense of autocorrelation in q lags
lmtest2 : Performs an Engle LM test of the squarred residuals regressed on q lags
multi_garch_constraints : constraints for multigarch
multi_garch_paramsetup : multigraph parameter parsing
multigarch : This is a multiuse univariate GARCH function which can estimate
multigarch_likelihood : multigarch likelihood
shapirofrancia : This function performs that Shapiro-Francia Test for normality of the data
shapirowilks : This function performs that Shapiro-Wilks Test for normality of the data
stdtdis_cdf : returns cdf at x of the standardized to unit variance t(n) distribution
stdtdis_pdf : returns the pdf at x of the standardized t(n) distribution
stdtdis_rnd : returns random draws from the standardized t(n) distribution with unit variance
ucsd_garch_demo : UCSD garch demo