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[GARCH add-in]

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 (MLE).
[web:reg] [garch add-in] is an Microsoft Excel add-in, which estimates a "standard" GARCH model.

This Add-In is BETA.




[notes]

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.


[related links]

All links will be open in a new window

wikipedia 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.


screenshot of [web-reg] GARCH add-in


[download]

for downloading click on the filename

File: wr_setup_garch.exe
Filesize: 609 kb

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

annen@web-reg.de

[GARCH excel add-in]
© 2005 Kurt Annen