G@RCH   經濟計量分析軟體

G@RCH 6.1 is an OxMetrics ™ application dedicated to the estimation and forecasting of univariate ARCH-type models. G@RCH provides a user-friendly interface (with rolling menus) as well as some graphical features (through the OxMetrics graphical interface). For repeated tasks, the models can be estimated via the `Batch Editor' of OxMetrics or the Ox programming language (several example files are provided using the G@RCH class). G@RCH is also part of OxMetrics Enterprise Edition.

G@RCH 6.1 is a software dedicated to the estimation and the forecasting of univariate and multivariate (G)ARCH models and many of its extensions. It can be used within OxMetrics or via the classic programming way (using OxEdit for instance) for those who have access to the Ox programming language.

The available univariate models are all ARCH-type models. These include ARCH, GARCH, EGARCH, GJR, APARCH, IGARCH, RiskMetrics, FIGARCH , FIEGARCH , FIAPARCH and HYGARCH. They can be estimated by approximate (Quasi-) Maximum Likelihood under one of the four proposed distributions for the errors (Normal, Student-t, GED or skewed-Student). Moreover, ARCH-in-mean models are also available and explanatory variables can enter the conditional mean and/or the conditional variance equations.

G@RCH 6.1 also propose the some multivariate GARCH specifications including the scalar BEKK, diagonal BEKK, full BEKK, RiskMetrics, CCC, DCC, DECO, OGARCH and GOGARCH models.

Finally, h-steps-ahead forecasts of both equations are available as well as many univariate and multivariate miss-specification tests (Nyblom, Sign Bias Tests, Pearson goodness-of-fit, Box-Pierce, Residual-Based Diagnostic for conditional heteroscedasticity, Hosking’s portmanteau test, Li and McLead test, constant correlation test, …).