Econometrics Toolbox
Model and analyze financial and economic systems using statistical methods
Plot of forecasts from a multivariate VARMAX model, produced by the vgxplot function.
Econometrics Toolbox™ provides functions for modeling economic data. You can select and calibrate economic models for simulation and forecasting. Time series capabilities include univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, and cointegration analysis. The toolbox provides Monte Carlo methods for simulating systems of linear and nonlinear stochastic differential equations and a variety of diagnostics for model selection, including hypothesis, unit root, and stationarity tests.
