Econometrics Toolbox Model and analyze financial and economic systems using statistical methods.
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Econometrics Toolbox Description

Advertisement Econometrics Toolbox is a Home & Education software developed by The MathWorks, Inc.. After our trial and test, the software is proved to be official, secure and free. Here is the official description for Econometrics Toolbox: Econometrics Toolbox™ provides functions for modeling economic data. It enables econometricians and financial professionals to select and CaliBrate economic models for use in simulation and forecasting. Capabilities include univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, Monte Carlo methods for linear and nonlinear stochastic differential equations, and a variety of diagnostic tests. Key Features Univariate ARMAX/GARCH composite models, with EGARCH, GJR, and other variants Multivariate VARX and VARMAX simulation and forecasting Dickey-Fuller and Phillips-Perron unit root tests Monte Carlo simulation of stochastic differential equations (SDEs), including Brownian Motion, CEV, CIR, Hull-White, Vasicek, Heston stochastic volatility, and user-defined SDEs Statistical tests, including likelihood ratio, Engle’s ARCH, and Ljung-Box Q Diagnostic tools, including AIC/BIC model selection and partial-, auto-, and cross-correlation functions Hodrick-Prescott filter for business-cycle Analysis

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