MFE Toolbox
From Kevin Sheppard
The Oxford MFE Toolbox is the follow on to the UCSD_GARCH toolbox. It has been widely used by students here at Oxford, and represents a substantial improvement in robustness over the original UCSD GARCH code, although in its current form it only contains univariate routines.
Code
Oxford MFE Toolbox 
Documentation
Oxford MFE Toolbox 
Contents |
High Level List of Functions
- Regression
- ARMA Simulation
- ARMA Estimation
- Heterogeneous Autoregression
- Information Criteria
- ARMA Forecasting
- Sample autocorrelation and partial autocorrelation
- Theoretical autocorrelation and partial autocorrelation
- Testing for serial correlation
- Ljung-BoxQ Statistic
- LM Serial Correlation Test
- Filtering
- Baxter-King Filtering
- Hodrick-Prescott Filtering
- Regression with Time Series Data
- Long-run Covariance Estimation
- Newey-West covariance estimation
- Den Hann-Levin covariance estimation
- Nonstationary Time Series
- Unit Root Testing
- Augmented Dickey-Fuller testing
- Augmented Dickey-Fuller testing with automated lag selection
- Vector Autoregressions
- Granger Causality Testing: grangercause
- Impulse Response function calculation
- Volatility Modeling
- ARCH/GARCH/AVARCH/TARCH/ZARCH Simulation
- EGARCH Simulation
- APARCH Simulation
- FIGARCH Simulation
- GARCH Model Estimation
- ARCH/GARCH/GJR-GARCH/TARCH/AVGARCH/ZARCH Estimation
- EGARCH Estimation
- APARCH Estimation
- AGARCH and NAGARCH estimation
- IGARCH estimation
- FIGARCH estimation
- Density Estimation
- Kernel Density Estimation
- Distributional Fit Testing
- Jarque-Bera Test
- Kolmogorov-Smirnov Test
- Berkowitz Test
- Bootstraps
- Block Bootstrap
- Stationary Bootstrap
- Multiple Hypothesis Tests
- Reality Check and Test for Superior Predictive Accuracy
- Model Confidence Set
Functions with Missing Documentation
- CCC MVGARCH
- Scalar Variance Targetting VECH
Functions Missing from Previous UCSD GARCH Toolbox
The following list of function have not been updated and so if needed, you should continue to use the UCSD_GARCH code.
- GARCH in mean
- DCC MVGARCH
- IDCC MVGARCH
- Scalar BEKK
- Diagonal BEKK
- Full BEKK
- OGARCH
- Ljung-Box Q Test
- lmtest2 -> Use lmtest1 on squared data
- Shapirowilks
- Shapirofrancia
Work in Progress
- Finishing the Toolbox
- Code for estimating Realized Quantities, such as that used in the Oxford Man Realized Library