Volatility

In This Topic

Garch Models - Theory

The following ebook presents the theory of Garch and Multivariate Garch models.

Functions implemented

The models presented in the precedent section can easily be estimated via XlQuant. This part presents functions that are available to implement those models.

Univariate models

Supported models are : GARCH, GJR, FIGARCH, GAS, APARCH, EGARCH, IGARCH and RiskMetrics.

To estimate parameters, the functions to use are named as "GET.PARAMETERS.MODEL" where MODEL has to be replaced by the desired model (GARCH, GJR ...). Example: to obtain parameters of the GAS model, please use the function GET.PARAMETERS.GAS.
To get the fitted conditional mean or conditional variance, the functions are given by "GET.ESTIMATES.MODEL". Example: to get the conditional variance of a fitted Garch model, please use the function : GET.ESTIMATES.GARCH .
To get the Value-at-Risk of a fitted model, the naming convention is given by "GET.VaR.MODEL".
To get the forecasted mean or variance of an univariate model, please use "GET.FORECASTS.MODEL".

Multivariate models:

Supported models are : CCC, DCC, RiskMetrics, Diagonal-Bekk and Scalar-Bekk. Estimation is done with Variance Targeting.

The names of functions to estimate and forecast multivariate models follow the same naming convention as for univariates model but the prefix is GETX where X indicates multivariate models.

Example: the function GETX.FORECASTS.DCC permits to forecast the DCC model.

Please note that for some multivariate models, the time required for optimisation can be long. It is advisable to progressively increase the number of series in order to have an idea of the computation time.

List of functions

GET.ESTIMATES.APARCH	Returns the moments of a stationary series estimated via the APARCH Model
GET.ESTIMATES.EGARCH	Returns the moments of a stationary series estimated via the EGARCH Model
GET.ESTIMATES.FIGARCH	Returns the moments of a stationary series estimated via the FIGARCH Model
GET.ESTIMATES.GARCH	Returns the moments of a stationary series estimated via the GARCH Model
GET.ESTIMATES.GAS	Returns the moments of a stationary series estimated via the GAS Model
GET.ESTIMATES.GJR	Returns the moments of a stationary series estimated via the GJR Model
GET.ESTIMATES.IGARCH	Returns the moments of a stationary series estimated via the IGARCH Model
GET.ESTIMATES.RISKMETRICS	Returns the moments of a stationary series estimated via the RISKMETRICS model
GET.FORECASTS.APARCH	Forecasts the moments of a time-series by using the APARCH model
GET.FORECASTS.EGARCH	Forecasts the moments of a time-series by using the EGARCH model
GET.FORECASTS.FIGARCH	Forecasts the moments of a time-series by using the FIGARCH model
GET.FORECASTS.GARCH	Forecasts the moments of a time-series by using the GARCH model
GET.FORECASTS.GAS	Forecasts the moments of a time-series by using the GAS model
GET.FORECASTS.GJR	Forecasts the moments of a time-series by using the GJR model
GET.FORECASTS.IGARCH	Forecasts the moments of a time-series by using the IGARCH model
GET.FORECASTS.RISKMETRICS	Forecasts the moments of a time-series by using the RISKMETRICS model
GET.PARAMETERS.APARCH	Fit a APARCH model and returns the estimated parameters.
GET.PARAMETERS.EGARCH	Fit a EGARCH model and returns the estimated parameters.
GET.PARAMETERS.FIGARCH	Fit a FIGARCH model and returns the estimated parameters.
GET.PARAMETERS.GARCH	Fit a GARCH model and returns the estimated parameters.
GET.PARAMETERS.GAS	Fit a GARCH model and returns the estimated parameters.
GET.PARAMETERS.GJR	Fit a GARCH model and returns the estimated parameters.
GET.PARAMETERS.IGARCH	Fit a IGARCH model and returns the estimated parameters.
GET.PARAMETERS.RISKMETRICS	Fit a RISKMETRICS model and returns the estimated parameters.
GET.VaR.APARCH	Returns the VaR of a stationary series estimated via the APARCH Model
GET.VaR.EGARCH	Returns the VaR of a stationary series estimated via the EGARCH model
GET.VaR.FIGARCH	Returns the VaR of a stationary series estimated via the FIGARCH model
GET.VaR.GARCH	Returns the VaR of a stationary series estimated via the GARCH model
GET.VaR.GAS	Returns the VaR of a stationary series estimated via the GAS model
GET.VaR.GJR	Returns the VaR of a stationary series estimated via the GJR Model
GET.VaR.IGARCH	Returns the VaR of a stationary series estimated via the IGARCH model
GET.VaR.RISKMETRICS	Returns the VaR of a stationary series estimated via the RISKMETRICS model
GETX.ESTIMATES.CCC	Returns the moments estimated via the CCC model.
GETX.ESTIMATES.DCC	Returns the moments estimated via the DCC model.
GETX.ESTIMATES.DIAG.BEKK	Returns the moments estimated via the DIAG BEKK model.
GETX.ESTIMATES.RISKMETRICS	Returns the moments estimated via the RiskMetrics model.
GETX.ESTIMATES.SCALAR.BEKK	Returns the moments estimated via the SCALAR BEKK model.
GETX.FORECASTS.CCC	Forecasts the moments of multiple time-series by using the CCC model
GETX.FORECASTS.DCC	Forecasts the moments of multiple time-series by using the DCC model
GETX.FORECASTS.DIAG.BEKK	Forecasts the moments of multiple time-series by using the DIAG BEKK model
GETX.FORECASTS.RISKMETRICS	Forecasts the moments of multiple time-series by using the RISKMETRICS model
GETX.FORECASTS.SCALAR.BEKK	Forecasts the moments of multiple time-series by using the SCALAR BEKK model
GETX.PARAMETERS.CCC	Fit a CCC model and returns the estimated parameters.
GETX.PARAMETERS.DCC	Fit a DCC model and returns the estimated parameters.
GETX.PARAMETERS.DIAG.BEKK	Fit a DIAG-BEKK model and returns the estimated parameters.
GETX.PARAMETERS.RISKMETRICS	Fit a RISKMETRICS model and returns the estimated parameters.
GETX.PARAMETERS.SCALAR.BEKK	Fit a SCALARA-BEKK model and returns the estimated parameters.

XlQuant version : 1.0.16.0