MFE Toolbox

From Kevin Sheppard
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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.

Current Version

The latest version, including any work in progress, can be downloaded on the bitbucket repository for the MFE Toolbox (Direct link to zip MFEToolbox.zip)

Last Updated

June 7, 2013

Update News

Many changes have occurred since the last release. The most notable are:

  • A major rework of the subsampling in the Realized code
  • Modern versions of BEKK (Scalar, Diagonal and Full) and RARCH, a recent model by Diaa Noureldin, Neil Sheppard and me.
  • DCC, BEKK and HEAVY are all finally available in this toolbox, and so the retirement of the UCSD GARCH toolbox is almost ready.
  • OGARCH and GOGARCH have been added.
  • RCC, an alternative to DCC, is also available (by Diaa Noureldin, Neil Sheppard and Kevin Sheppard).

The next developments should include the TODO include:

  • cDCC
  • SARIMA
  • Clean up of unused files and more coherent naming

Code

Oxford MFE Toolbox Zip new.png

Documentation

Oxford MFE Toolbox Pdf small icon.png

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
    • HEAVY models
  • 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
  • Multaivariate GARCH
    • CCC MVGARCH
    • Scalar Variance Targetting VECH
    • MATRIX GARCH
    • DCC and ADCC
    • OGARCH
    • GOGARCH
    • RARCH
  • Realized Measures
    • Realized Variance
    • Realized Covariance
    • Realized Kernels
    • Multivariate Realized Kernels
    • Realized Quantile Variance
    • Two-scale Realized Variance
    • Multi-scale Realized Variance
    • Realized Range
    • QMLE Realized Variance
    • Min Realized Variance, Median Realized Variance (MinRV, MedRV)
    • Integrated Quarticity Estimation

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
  • IDCC MVGARCH
  • Shapirowilks
  • Shapirofrancia