3. Tasks to be done¶
- GARCH
- ARIMA
- SARMA
- TimeSeries class
- FinancialData class
Fitting of time series models : Box jenkins ARIMA , box jenkins multivariate models, holt winters exponential smoothing
data->remove missing data data->detrend, interpolate, filter, resample,
aar.m biacovf.m histo3.m mvar.m rmle.m aarmam.m bisdemo.m histo4.m mvfilter.m sbispec.m bispec.m histo.m mvfreqz.m selmo2.m ac2rc.m hup.m pacf.m selmo.m acorf.m parcor.m sinvest1.m acovf.m adim.m invest0.m ucp.m amarma.m detrend.m invest1.m durlev.m invfdemo.m rc2ac.m y2res.m ar2rc.m eeg8s.mat lattice.m arcext.m flag_implicit_samplerate.m levdown.m arfit2.m flix.m lpc.m histo2.m mvaar.m
Matlab econometrics
adftest aicbic archtest autocorr bm cev cir crosscorr diffusion LagOp.filter drift egcitest garchar garchcount garchdisp garchfit garchget garchinfer garchma garchplot garchpred garchset garchsim gbm heston hpfilter hwv interpolate LagOp.isEqLagOp LagOp.isNonZero LagOp.isStable jcitest jcontest kpsstest lagmatrix LagOp lbqtest lmctest lmtest lratiotest LagOp.minus LagOp.mldivide LagOp.mrdivide LagOp.mtimes parcorr LagOp.plus pptest price2ret LagOp.reflect ret2price sde sdeddo sdeld sdemrd simByEuler simBySolution simulate LagOp.toCellArray ts2func vartovec vectovar vgxar vgxcount vgxdisp vgxget vgxinfer vgxloglik vgxma vgxplot vgxpred vgxproc vgxqual vgxset vgxsim vgxvarx vratiotest waldtest