Table of Contents
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Table of Contents

1. Introduction

1.1 G@RCH
1.2 General Information
1.3 Installing and Running G@RCH 4.2

2. Getting Started

2.1 Starting G@RCH
2.2 Loading and Viewing the Tutorial Data Set
2.3 OxMetrics Graphics

3. Features and Package

3.1 Visual Inspection
3.2 Prelimenary Graphics
3.3 Prelimenary Tests
3.4 Conditional Mean Specification
3.5 Conditional Variance Specification: the ARCH Model
3.6 Estimation
3.7 Graphics
3.8 Misspecification Tests
3.9 Parameters Constraints
3.10 Forecasts
3.11 Further Options

4. Further GARCH Models

4.1 GARCH Model
4.2 EGARCH model
4.3 GJR Model
4.4 APARCH Model
4.5 IGARCH Model
4.6 RiskMetrics
4.7 Fractionally Integrated Models
4.8 Forecasting the Conditional Variance of GARCH-type models
4.9 Constrained Maximum Likelihood and Simulated Annealing
4.10 Accuracy of G@RCH

5. Estimating ARCH-type models using the Batch and Ox Versions

5.1 Using the "Batch Version"
5.2 Importing the G@RCH Class in Ox
5.3 Advanced Ox Usage
5.4 G@RCH and OxGauss

6. Value-at-Risk (VaR) estimation using G@RCH

6.1 VaR Models
6.2 Application

7. Realized Volatility and Intraday Seasonality

7.1 Introduction to diffusion models
7.2 GIntegrated Volatility
7.3 Realized Volatility
7.4 Microstructure Noise
7.5 Intraday Seasonality

8. Structure of the Program

8.1 Classes and Functions
8.2 Garch Member Functions
8.3 G@RCH Members Functions

References
Index