Cauchy
The Extended GARCH Toolbox estimates a variety of GARCH models with different distributions and for any order of ARCH (p) and GARCH (q) effects.The supported models are:GARCH: Bollerslev (1986)GJR-GARCH: Glosten et al. (1993) EGARCH: Nelson (1991) NARCH: Nonlinear ARCH: Engle and Bollerslev...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (52): Extended GARCH Toolbox Download |
PDL::GSL::INTEG is a PDL interface to numerical integration routines in GSL. This is an interface to the numerical integration package present in the GNU Scientific Library, which is an implementation of QUADPACK. Functions are named gslinteg_{algorithm} where {algorithm} is the QUADPACK...
Platforms: *nix
License: Freeware | Size: 2.1 MB | Download (94): PDL::GSL::INTEG Download |
A Java package that provides routines for various statistical distributions. Based on R version 2.14.1. The major difference is that JDistlib is thread safe. The library contains the density (pdf), cumulative (cdf), quantile, and random number generator (RNG) routines of the following...
Platforms: Windows, Mac, Linux
License: Freeware | Size: 148.74 KB | Download (46): JDistlib Download |
The Particle Swarm Optimization Research Toolbox was written to assist with thesis research combating the premature convergence problem of particle swarm optimization (PSO). The control panel offers ample flexibility to accommodate various research directions. After specifying your intentions,...
Platforms: Matlab
License: Freeware | Size: 1.92 MB | Download (42): Particle Swarm Optimization Research Toolbox Download |
The Toolbox forecasts the volatility of a (mxn) vector of data and from a variety of in-built / non-in-built GARCH models with various distributions, as well as the univariate RiskMetrics. The toolbox also estimates a number of Volatility Forecast Loss Functions and if selected Value-at-Risk for...
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (45): Volatility Forecast Toolbox Download |
To further understand the implementation of hyperparameters re-estimation technique in Bayesian hierarchical model, we added two more prior assumptions over the weight in BayesPI, namely Laplace prior and Cauchy prior, by using the evidence approximation method. In addition, we divided...
Platforms: Matlab
License: Freeware | Size: 1.96 MB | Download (46): BayesPI: a new biophysical model for studying protein-DNA interaction Download |