STATS GARCH

GARCH models

This procedure calculates a variety of univariate GARCH models. The models can be used for forecasting.

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Requirements

• IBM SPSS Statistics 18 or later and the corresponding IBM SPSS Statistics-Integration Plug-in for R.

Note: For users with IBM SPSS Statistics version 23 or higher, the STATS GARCH extension is installed as part of IBM SPSS Statistics-Essentials for R.

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Installation intructions

1. Open IBM SPSS Statistics
2. Navigate to Utilities -> Extension Bundles -> Download and Install Extension Bundles
3. Search for the name of the extension and click Ok. Your extension will be available.

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License

• Apache 2.0

Contributors

• JKP, IBM SPSS