Documentation

Econometrics Toolbox Classes

Data Preprocessing

LagOp Create lag operator polynomial (LagOp) object

Model Selection

Nonspherical Models

arima Create ARIMA or ARIMAX time series model
regARIMA Create regression model with ARIMA time series errors

Time Series Regression Models

Specification

regARIMA Create regression model with ARIMA time series errors

Conditional Mean Models

Specification

arima Create ARIMA or ARIMAX time series model
LagOp Create lag operator polynomial (LagOp) object

Conditional Variance Models

Specification

garch GARCH conditional variance time series model
egarch EGARCH conditional variance time series model
gjr GJR conditional variance time series model

Estimation

garch GARCH conditional variance time series model
egarch EGARCH conditional variance time series model
gjr GJR conditional variance time series model

Simulation

garch GARCH conditional variance time series model
egarch EGARCH conditional variance time series model
gjr GJR conditional variance time series model

Forecasting

garch GARCH conditional variance time series model
egarch EGARCH conditional variance time series model
gjr GJR conditional variance time series model

State-Space Models

Specification

ssm Create state-space model
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