Description: I wrote these functions for GARCH(1,1) estimation with variance targeting. They should be used TOGETHER with the MFEToolbox available at http://www.kevinsheppard.com/wiki/MFE_Toolbox.
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File list (Check if you may need any files):
J
.\garch_vt_likelihood.m
__MACOSX
........\J
........\.\._garch_vt_likelihood.m
J\garch_vt_likelihood.m~
.\garch_vt_transform.m
__MACOSX\J\._garch_vt_transform.m
J\garch_vt_transform.m~
.\KofT.m
__MACOSX\J\._KofT.m
J\main.m
__MACOSX\J\._main.m
J\MFE_toolbox_trial.m
__MACOSX\J\._MFE_toolbox_trial.m
J\qml_vt.m
__MACOSX\J\._qml_vt.m
J\qml_vt.m~
.\qml_vt_starting_values.m
__MACOSX\J\._qml_vt_starting_values.m
J\qml_vt_starting_values.m~
.\TrimmedSecondMoment.m
__MACOSX\J\._TrimmedSecondMoment.m
J\utilities
.\.........\.DS_Store
__MACOSX\J\utilities
........\.\.........\._.DS_Store
J\utilities\randp.m
__MACOSX\J\utilities\._randp.m
J\utilities\randp_test.m
__MACOSX\J\utilities\._randp_test.m
J\utilities\SymParetoRnd.m
__MACOSX\J\utilities\._SymParetoRnd.m
........\.\._utilities
J\vt_params_trans.m
__MACOSX\J\._vt_params_trans.m
J\vt_params_transinv.m
__MACOSX\J\._vt_params_transinv.m
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