Heteroskedasticity
Heteroskedasticity is a sequence of random variables, that could affect statistical data if they have large variances.It will need and use the 'regstats' and 'chi2cdf' functions from the Statistics Toolbox. Requirements: - MATLAB 7.7 or higher - MATLAB's Statistics Toolbox
Platforms: Windows, Mac, *nix, Matlab, BSD Solaris
License: Freeware | Download (61): Heteroskedasticity Test Download |
Heteroskedasticity is a sequence of random variables, that could affect statistical data if they have large variances.It will need and use the 'regstats' and 'chi2cdf' functions from the Statistics Toolbox.
Platforms: Matlab
License: Freeware | Size: 716.8 KB | Download (49): Heteroskedasticity Test for Statistics and Probability Download |
Calculates the Variance Ratio Test of a time series, with or without the heteroskedasticity correction.
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (41): Variance Ratio Test Download |
Hotelling's T-Squared multivariate test for one sample, two independent samples [homoskedasticity or heteroskedasticity (to test)] and two dependent samples.
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 71.68 KB | Download (68): HotellingT2 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 |
This toolbox estimates the following volatility loss functions:1. Mean Square Error, MSE2. Mean Absolute Deviation, MAD3. Mean Logarithm of Absolute Errors, MLAE4. Heteroskedasticity-adjusted Mean Square Error, HMSE5. Heteroskedasticity-adjusted Mean Absolute Error, HMAE6. Median Absolute Error,...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 1024 KB | Download (44): Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests Download |