ARCH or GARCH models, which stand for (generalized) autoregressive
conditional heteroskedasticity, have become widespread tools for dealing
with time series heteroskedasticity. The goal of such models is to measure
and modelling volatility (variance or standard deviation), that can
be used in financial decision.
The "standard" GARCH(p,q) model is defined by:
and could be estimated by the Maximum Likelihood Method
[web:reg] [garch add-in] is an Microsoft Excel add-in, which estimates
a "standard" GARCH model.
This Add-In is BETA.
The parameters of a GARCH(p,q) model could be estimated
bei the Maximum Likelihodd method (MLE). This Add-In assumes a GARCH(p,q)
model with Gaussian shocks.
The non linear estimation will be done by the BFGS method
(a limited-memory quasi-Newton method).
Please note, that the Add-in is Beta.
All links will be open in a new window
A description of the GARCH models at wikipedia. (HTML)
Links to other sites from these pages are for information only and
Kurt Annen accepts no responsibility or liability for access to, or
the material on, any site which is linked from or to this site.
The [web:reg] GARCH Add-In was written by Kurt Annen.
This program is freeware. But I would highly appreciate if you could
give me credit for my work by providing me with information about possible
open positions as an economist. My focus as an economist is on econometrics
and dynamic macroeconomics. If you like the program, please send me
an email. Please note, this Add-In is BETA