Econometrics Toolbox™

Performance Considerations

Functions — Alphabetical List

Function Reference

Click for Alphabetical List

Alphabetical List

Data Preprocessing

Hodrick-Prescott filter

GARCH Modeling

garchfit	Estimate univariate GARCH process parameters
garchpred	Univariate GARCH process forecasting
garchsim	Univariate GARCH process simulation

Model Specification

garchget	Get value of GARCH specification structure parameter
garchset	Create or modify GARCH specification structure

Model Visualization

Plot GARCH innovations, volatility, and return series

Multiple Time Series

vgxar	Convert VARMA model to pure VAR model
vgxcount	Count total and active parameters in a multivariate time series model.
vgxdisp	Display multivariate time series model parameters and standard errors in different formats
vgxget	Get multivariate time series specification parameters
vgxinfer	Infer innovations of a multivariate time series process
vgxloglik	Log-likelihoods of multivariate time series process
vgxma	Convert VARMA model to pure VMA model
vgxplot	Plot multivariate time series process
vgxpred	Transient forecast response of multivariate time series process
vgxproc	Multivariate time series process generated from an innovations process
vgxqual	Qualify multivariate time series process
vgxset	Create or modify multivariate time series specification
vgxsim	Simulate multivariate time series process
vgxvarx	Calibration of VAR or VARX models

Statistics and Tests

aicbic	Akaike and Bayesian information criteria
archtest	Engle's ARCH test
autocorr	Autocorrelation
crosscorr	Cross-correlation
dfARDTest	Augmented Dickey-Fuller unit root test for AR model with drift
dfARTest	Augmented Dickey-Fuller unit root test for zero-drift AR model
dfTSTest	Augmented Dickey-Fuller unit root test for trend-stationary AR model
lbqtest	Ljung-Box Q-test
lratiotest	Likelihood ratio test
parcorr	Partial autocorrelation
ppARDTest	Phillips-Perron unit root test for AR(1) model with drift
ppARTest	Run Phillips-Perron unit root test for zero-drift AR(1) model
ppTSTest	Phillips-Perron unit root test for trend-stationary AR(1) model

Stochastic Differential Equations

bm	Brownian motion models
cev	Construct constant elasticity of variance models (objects of class `CEV`)
cir	Cox-Ingersoll-Ross mean-reverting square root diffusion models
diffusion	Construct diffusion-rate model components
drift	Construct drift-rate model components
gbm	Geometric Brownian motion models
heston	Heston stochastic volatility models
hwv	Hull-White/Vasicek mean-reverting Gaussian diffusion models
interpolate	Brownian interpolation of stochastic differential equations
sde	Construct stochastic differential equation models
sdeddo	Construct stochastic differential equation from drift and diffusion models
sdeld	Construct stochastic differential equation from linear drift-rate models
sdemrd	Construct stochastic differential equation from mean-reverting drift-rate models
simByEuler	Euler simulation of stochastic differential equations (SDEs)
simBySolution	Simulate approximate solution of diagonal-drift `HWV` and `GBM` processes
simulate	Simulate multivariate stochastic differential equations (SDEs)
ts2func	Convert time series to functions of time and state

Utilities

garchar	Convert finite-order ARMA models to infinite-order AR models
garchcount	Count number of GARCH estimation coefficients
garchdisp	Display GARCH process estimation results
garchinfer	Infer GARCH innovation processes from return series
garchma	Convert finite-order ARMA models to infinite-order MA models
lagmatrix	Lagged time series matrix
price2ret	Convert price series to return series
ret2price	Convert return series to price series

Performance Considerations

Performance Considerations

Functions — Alphabetical List

Functions — Alphabetical List

© 1984-2009- The MathWorks, Inc. - Site Help - Patents - Trademarks - Privacy Policy - Preventing Piracy - RSS