Econometrics Toolbox facilitates the multistep process of identifying and testing univariate and multivariate time-series models for financial and econometric data. The toolbox supports the full model development and analysis workflow:
Time-series modeling capabilities in Econometrics Toolbox are designed to capture characteristics commonly associated with financial and econometric data, including data with fat tails, volatility clustering, and leverage effects.
Supported conditional mean models include:
Supported conditional variance models include:
Econometrics Toolbox supports multivariate time-series analysis by extending capabilities for univariate models. Supported models include: