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A comprehensive MATLAB GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model package developed by UCSD, featuring two installation packages with detailed setup instructions compatible with various MATLAB versions. The implementation includes key algorithms for volatility modeling and has been verified to execute successfully, addressing runtime issues found in other online versions. The package contains core functions for parameter estimation, volatility forecasting, and diagnostic checking.

MATLAB 202 views Tagged