Creating GARCH Models Using Econometric Modeler App
Learn how to build GARCH models (GARCH, EGARCH, and GJR) using the Econometric Modeler app. The data used in this demo is the historical price of the S&P 500 Index retrieved from FRED using Datafeed Toolbox™. Econometric modeling is an iterative process, but it can be much easier and faster using the Econometric Modeler app.
In this demo, you will learn how to:
- Convert price to log-return by applying log and difference transformations
- Perform Engle’s ARCH test
- Fit GARCH(1,1,) EGARCH(1,1), and GJR(1,1)
- Compare the fit statistics of GARCH models
- Perform statistical analyses on residuals
- Export the models to the MATLAB® workspace to perform Monte Carlo simulation, volatility forecasting, and other tasks
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