In this webinar, we’ll demonstrate selected features of Econometrics Toolbox. Econometrics Toolbox lets you perform Monte Carlo simulation and forecasting with linear and nonlinear stochastic differential equations (SDEs) and build univariate ARMAX/GARCH composite models with several GARCH variants and multivariate VARMAX models. You can use the toolbox to generate minimum mean square error forecasts, estimate parameters in ARMAX/GARCH models and unrestricted/restricted VARX models, and model volatility with Heston stochastic volatility models. You can also perform diagnostic and statistical hypothesis tests, including the likelihood ratio test and variants of the Dickey-Fuller and Phillips-Perron unit root tests.
Demo files from this webinar can be accessed in MATLAB Central.
Recorded: 23 Oct 2008