Matlab Finance Code


User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox.

Kevin Sheppard’s GARCH Toolbox for Matlab

This toolbox contains many useful functions relating to estimating and simulating both univariate and multivariate GARCH models. Some of my programs call some of Kevin’s functions, so this also needs to be installed. The GARCH toolbox can be found here.

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