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Volatility

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

The models presented in the precedent section can easily be estimated via XlQuant. This part presents functions that are available to implement those 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**wherehas to be replaced by the desired model (GARCH, GJR ...). Example: to obtain parameters of the GAS model, please use the function GET.PARAMETERS.GAS.*MODEL* - To get the fitted conditional mean or conditional variance, the functions are given by "GET.ESTIMATES.
". Example: to get the conditional variance of a fitted Garch model, please use the function : GET.ESTIMATES.GARCH .**MODEL** - 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*

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 GET**X** 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.

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. |