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- 使用Rats寫的馬可夫狀態轉換GARCH模型。本模型結合著名的狀態轉換及GARCH等財金時間序列特性。-regime swithcing GARCH model in Rats. This code combine both the famous financial time series properties of regime swithcing and GARCH model.
HW3
- MATLAB Garch using example
22xample_Fit_GARCH
- ECON 6219 UNCC estimate AR-GARCH model
33Example_Fit_Multi_GARCH
- estimate AR-GARCH model example program based on Perlin s Matlab code
Likcc_GARCH
- MLE method for GARCH
Max-GARCH
- 计算最大值,在估计的时候计算似然估计的最大值，并给出结果。-max caculate
tvpgrch
- 用GAUSS计算时变的GARCH模型、ARCH模型等多种模型-When varying GARCH model calculation with GAUSS
rsc2012
- dcc-garch模型中的hessian矩阵-hessian matrix in the dcc-garch model
arbitrage
- matlab 套利，garch(1,1)求波动率-matlab garch(1,1)
MS_Regress_Fit1
- 通过matlab实现MS-GARCH的极大似然估计-likelihood of MS-GARCH model through matlab
MS_Regress_Sim
- 通过matlab软件编辑加入马尔科夫转换机制的GARCH模型的极大似然估计-likelihood of markov regime swithing GARCH model through matlab
MFEToolbox
- matlab工具箱，可以用来处理各类garch模型，尤其是包含CCCGARCH等多元garch模型-it s a matlab toolbox that can be used to deal with all kinds of garch model, especially multivariate garch model like CCC-GARCH model
cronos-1.41.tar
- Chrono garch model for finance modelling.
GARCH_n
- estimates a GARCH(1,1) under the assumption that residuals are normal
copula111cGarch111VaR
- Copula函数用GARCH模型测量在值风险VAR-copula in Garch testing Var
ProcessesFinance
- Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.
kroner2
- GAUSS CODE FOR Multivariate GARCH model
随机波动率模型程序
- 随机波动率模型（sv）程序 对波动率刻画优于garch模型
Contents
- 解释每个garch程序的作用和使用范围，包括大概几十个garch模型-explain every garch model
garchpq
- 最基本的garch模型，参数p，q可以自己调整，得到理想结果-fundamental garch model