OxMetrics batch codes for Engle's test for conditional heteroskedasticity and for estimating Univariate GARCH Models.
The Models are: ARCH(1), GARCH(1,1), EGARCH(1,1) GJR(1,1) and APARCH(1,1).
All distributions considered are: Normal, Symmetric Student-t, GED and Skew Student-t.
Also NGARCH is estimated without the last 10 observations and out-of-sample forecast is done.
Plot the forecast for the conditional mean and also with the V@R(0.025) and V@R(0.975).
Test for Long Memory Hurst-Mandelbrot with the correction by Lo.
Estimation of ARFIMA model for the conditional mean.
Estimation of FIGARCH(1,d,1).
Estimation of FIEGARCH(1,d,1).
Estimation of FIAPARCH(1,d,1).
Estimation of HYGARCH(1,d,1).
Estimation of GAS, EGAS and AEGAS models.