Description: 对GARCH－t模型参数的估计,主要是运用已有的股票数据估计参数-GARCH-t model for the estimated parameters, mainly the use of stock data has been estimated parameters Platform: |
Size: 3072 |
Author:董晓伟 |
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Description: the text file QMLE contains the quasi maximum
likelyhood estimating procedure and performing Information Matrix test
for a univariate GARCH(1,1) model Platform: |
Size: 3072 |
Author:萧建 |
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Description: Ucsd编写的matlab的GARCH模型分析与预测。包括两个安装包和安装说明（各种matlab版本都有），很详细。主要是好多网上其他无法运行，这个步骤我刚刚试试过，可以运行，-UCSD matlab prepared the GARCH model analysis and forecast. Includes two installation package and installation instructions (there are a variety of matlab version), in great detail. Is mainly a lot of other can not run the Internet, the steps I have just had a try, you can run, Platform: |
Size: 7982080 |
Author:jcuaon |
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Description: Garch模型的最大似然估计方法，基于MATLAB程序。-Garch model of maximum likelihood estimation method, based on the MATLAB program. Platform: |
Size: 1024 |
Author:阿杜 |
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Description: Demo of some Garch models, include ugarch, dcc-garch, ica-garch, and neural network garch, and ica-nn-garch. the last two model are proposaed by me Platform: |
Size: 113664 |
Author:harry |
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Description: Garch模型的最大似然估计计方法，基于MATLAB程序。
-The Garch model the maximum likelihood estimator design methodology, based on the MATLAB program. Platform: |
Size: 1024 |
Author:guhaih |
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Description: GARCH模型的matlab程序，使用最大似然估计方法进行参数估计(The matlab program of the GARCH model uses maximum likelihood estimation to estimate the parameters.) Platform: |
Size: 18432 |
Author:stocastic |
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Description: 给出了金融时间序列的GARCH模型MATLAB代码和详细的代码说明。非常适合初学者。(The GARCH model MATLAB code and detailed code description of financial time series are given. It's very suitable for beginners.) Platform: |
Size: 15360 |
Author:我是月华 |
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Description: 论文复制的代码Peter R. Hansen, Asger Lunde, and Valeri Voev, "Realized Beta GARCH: A
Multivariate GARCH Model with Realized Measures of Volatility," Journal
of Applied Econometrics, Vol. 29, No. 5, 2014, pp. 774-799.
The file hlv-progs.zip contains two versions of the main Matlab file
(EstimateRBGARCH_v01.m and EstimateRBGARCH_v01a.m) that will estimate
the model, along with a number of functions that it calls. To make it
run properly, you have to change path to match your system. It may be
necessary to put the functions (.m files) in a folder called Procs.
The v01 version is designed to work with binary input files, and the
v01a version is designed to work with ASCII input files.
The files hlv-binary.zip and hlv-txt.zip contain the data in two
different formats. The former contains the files realData_14541.mat and
FF-data-2.xlsx. The latter contains the files CVXdata.txt, FFdata.txt,
and headers.txt.(Peter R. Hansen, Asger Lunde, and Valeri Voev, "Realized Beta GARCH: A
Multivariate GARCH Model with Realized Measures of Volatility," Journal
of Applied Econometrics, Vol. 29, No. 5, 2014, pp. 774-799.) Platform: |
Size: 508928 |
Author:qwerwccs |
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Description: 马尔科夫状态转换的GARCH类模型用matlab程序代码做实证 ms-garch(The GARCH model of Markov state transition is empirically done with matlab code
ms-garch) Platform: |
Size: 1409024 |
Author:陈丹琳 |
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