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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