Download Shareware and Freeware Software for Windows, Linux, Macintosh, PDA

line Home  |  About Us  |  Link To Us  |  FAQ  |  Contact

Serving Software Downloads in 976 Categories, Downloaded 31.032.540 Times

Volatility Forecast Toolbox 1.0

  Date Added: June 24, 2013  |  Visits: 274

Volatility Forecast Toolbox

Report Broken Link
Printer Friendly Version

Product Homepage
Download (19 downloads)

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 both short and long positions, along with a number of back-tests.The three main functions are the following:VFMatlab.m: In-built Matlab functions (i.e. models: GARCH, GJR-GARCH and EGARCH, distributions Normal and Studentd-deOaos t-Distribution)VFGarch.m: Forecasts the volatility of the following models and distributions:The supported models are:GARCH, GJR-GARCH, EGARCH,NARCH: Nonlinear ARCH: Engle and Bollerslev (1986) NGARCH: Nonlinear GARCH: Higgins and Bera (1992) AGARCH: Asymmetric GARCH: Engle (1990) APGARCH: Asymmetric Power GARCH: Ding, Granger and Engle (1993) NAGARCH: Nonlinear Asymmetric GARCH: Engle and Ng (1993)The supported distributions are:GAUSSIAN: Gaussian / Normal Distribution T: Student t-Distribution GED: Generalized Error Distribution CAUCHY: Cauchy-Lorentz Distribution HANSEN: Hansen's Skew-t Distribution GC: Gram-Charlier Expansion SeriesFinally, VFRiskMetrics.m forecasts the volatility of RiskMetrics model.Furthermore, not only the rolling window (P) and maximum number of forecasts (max_forecast) can be specified but the number of forecasts that are of interest (int_forecasts). This means, for example, that one forecasts the volatility of daily returns for up to 22 days, but is interested only for the 1-day, 1- and 2-weeks and 1-month periods. Finally, a number of volatility forecast evaluation metrics are estimated and are given in: LossFunctions.m. The forecast evaluation metrics are: Mean Square Error, Median Absolute Error, Median Absolute Percentage Error, Mean Absolute Deviation, Heteroskedasticity-adjusted Mean Square Error, Heteroskedasticity-adjusted Mean Absolute Error, R2LOG and QLIKE.If it is enabled, Value-at-Risk for both long and short positions is estimated as well as a number of back-tests, which are given in VaRTest.m. The VaR are computed according to the distribution specified for the estimation of the GARCH model.Value-at-Risk Backtesting for Long or/and Short Positions entail the estimation of the following: Percentage of Failures, Time Until First Failure, Christoffersen (2003) test for correct conditional coverage, which covers: unconditional coverage, independence test, and conditional coverage, and finally Basel II Accord evaluation criteria

Requirements: No special requirements
Platforms: Matlab
Keyword: Absolute Deviation Estimated Evaluation Finally Forecast Interested Lossfunctionsm Median Metrics Modelfurthermore Month Percentage Periods Returns Rolling Square Weeks Window
Users rating: 0/10

License: Freeware Size: 20.48 KB
Libraries  -  Libeval 1.0.7
Libeval provides simple means of evaluating simple arithmetic expressions involving literal numeric values, variables and functions using the addition (+), subtraction (-), multiplication (*), division (/), modulo division (), exponentiation (^),...
27.65 KB  
Business  -  Helion Mobile 4.0.2
What is Helion Mobile ? Helion Mobile is the offline data collection tool for Helion Market Research Helion Mobile enables easy and accurate data collection and delivery. It is FREE for registered Helion Evaluators...
3 MB  
Libraries  -  Perl::Metric::Basic 0.31
Perl::Metric::Basic is a Perl module that can provide basic software metrics. SYNOPSIS # first construct a PPI::Document object to pass in my $document = PPI::Document->load("t/lib/"); # then retrieve metrics on the document my $m =...
5.12 KB  
Social Networking  -  Alphega
See nearby updates from Facebook, Twitter, Instagram and other networks in the coolest 3D view ever! Find friends around and make new ones if you find their posts interesting. Enhance your sight with Alphega to tap into the virtual side of...
6 MB  
Finance  -  Forecast Expert 5.3
Forecast Expert is intended to construct forecasts for the data obtained as a result of previous observations and presented in the form of time series, including non-stationary ones. The ARIMA Box-Jenkins modeling method used by Forecast Expert...
2 KB  
Libraries  -  Statistics::Forecast 0.3
Statistics::Forecast is a Perl module that calculates a future value. This is a dummy Oriented Object module that calculates a future value by using existing values. The new value is calculated by using linear regression. SYNOPSIS use...
3.07 KB  
Utilities  -  Absolute 1.1.0
Absolute is an XFree86 driver for absolute positioning pointer devices, such as tablets and touchscreens. Absolute project currently supports arbitrary-point calibration and several types of hardware. It also includes calibration utilities for...
30.72 KB  
Network & Internet  -  Weather Forecast for Plone 1.4.2
Weather Forecast for Plone provides a product that will display weather information. Weather Forecast for Plone is a small product that let your Plone site shows the weather forecast using the wether service retrieval. Plone...
1.8 MB  
Finance  -  Employee Evaluation Form 13.2.2
Unique and effective evaluation form for your employee. Offering forms for performance appraisal and review. Download our free sample evaluation forms in our collection of forms.
Multimedia & Graphics  -  Absolute Radio Player 1.1
Listen live to Absolute Radio on your Apple Mac desktop! The Absolute Radio application for Mac allows you to discover real music with Absolute Radio, enjoy the best undisputed classics of 1980s with the UK’s only 80s station - Absolute 80s,...
307.2 KB  
Scripts  -  Free Ecommerce website creator 1.2
Free Ecommerce website creator is a free PHP shop creating script. This allows you to put a online shop on your own website. Create your own free ecommerce website for Your Business. Create an online shop using easyGUI online shop creator. The...
1.44 KB  
Scripts  -  MochiGames PHP Script ZDR 1.00
MochiGames PHP Script ZDR is web site, ready for use, for flash games. These flash games are downloaded automatically by "MochiGames PHP Script ZDR" from MochiGames media. The use of the games is free, you can use your own Mochi Publisher ID and...
368.54 KB  
Scripts  -  Php Chat 2.0
Add a free php site, single sign-on and multiple skins, 100% free 1. Server Modes: The chat server has paid mode and free mode. If the free chat mode, a free chat room will be assigned to your website with your domain as the room name. 2....
938.87 KB  
Scripts  -  Nibbleblog 3.0.1
Nibbleblog it's a powerful engine for creation and manipulation of BLOG's completely free. Very simple to install and configure (Only 1 step). The database used is based on XML files and this way it is not necessary to use MySQL or similar DBMS....
371.09 KB  
Scripts  -  PHP File Manager | CloudOsys 2.9b8
CloudOsys is a PHP file manager, a tool that allows your visitors upload files such as media content directly to your website. Your visitors will upload files directly to your website, where they can share and comment on them. Through cloud...
1.41 MB  
Development Tools  -  VMP Viewer 1.0
This is a very rudimentary tool to visualize the VMP files generated by BrainVoyager. Useful to share files with people who do not have BV.
10 KB  
Development Tools  -  7-Zip for Script 4.42
7-Zip is a file archiver with a high compression ratio.Features:- High compression ratio in new 7z format with LZMA compression- Supported formats:- Packing / unpacking: 7z, ZIP, GZIP, BZIP2 and TAR- Unpacking only: RAR, CAB, ISO, ARJ, LZH, CHM,...
624.64 KB  
Development Tools  -  PHP Docbook Displayer for Scripts 1.0b
PHP Docbook Displayer provides XSL and CSS stylesheets, and PHP scripts, to generate easily and dynamically websites from Docbook files.It aims at simplifying to the max the web publication process : simply drop the docbook file under the site root !
102.4 KB  
Development Tools  -  WP Translate 1.0
This simple language translation plugin allows your users to quickly translate your webpages, through a widget on your blog.You have the option to select the title of the Widget, which will be displayed above the language translation form. Users...
10 KB  
Development Tools  -  save2word 1.0
A simple function to copy figure from MATLAB into MS Word automatically. It is a modification of saveppt (a function in File exchange) that save figures to MS Powerpoint.
10 KB