Authors
1 Introduction
1.1 G@RCH
  1.1.1 Definition
  1.1.2 Program
  1.1.3 What’s new in G@RCH 6.1 ?
  1.1.4 What’s new in G@RCH 6.0 ?
  1.1.5 What’s new in G@RCH 5.1 ?
  1.1.6 What’s new in G@RCH 5.0 ?
1.2 General Information
  1.2.1 Queries about G@RCH
  1.2.2 Availability and Citation
  1.2.3 World Wide Web
1.3 Download G@RCH console 6.1

2 Getting Started
2.1 Starting G@RCH
2.2 Loading and Viewing the Tutorial Data Set
2.3 OxMetrics Graphics
  2.3.1 A First Graph
  2.3.2 Graph Saving and Printing
  2.3.3 Including Graphs in LATEX Documents
3 Introduction to the Univariate ARCH Model
3.1 Visual Inspection
3.2 Preliminary Graphics
3.3 Preliminary Tests
3.4 Conditional Mean Specification
3.5 Conditional Variance Specification: the ARCH Model
  3.5.1 Explanatory Variables
  3.5.2 Positivity Constraints
  3.5.3 Variance Targeting
3.6 Estimation
  3.6.1 G@RCH menus
  3.6.2 Distributions
3.7 Graphics
3.8 Misspecification Tests
3.9 Parameter Constraints
3.10 Forecasts
  3.10.1 Forecasting the Conditional Mean
  3.10.2 Forecasting the Conditional Variance
3.11 Further Options
  3.11.1 Exclusion Restrictions Dialog Box
  3.11.2 Linear Restrictions Dialog Box
  3.11.3 Store in Database Dialog
3.12 The random walk hypothesis (RWH)
  3.12.1 The Variance-ratio test
  3.12.2 Runs test
  3.12.3 Rescaled Range Tests
4 Further Univariate 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^TM
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
4.11 Simulations
5 Estimating Univariate Models using the Batch and Ox Versions
5.1 Using the Batch Version
5.2 Importing the Garch Class in Ox
  5.2.1 GarchEstim.ox example
  5.2.2 Running an Ox Program
5.3 Advanced Ox Usage
  5.3.1 Forecast.ox example
  5.3.2 Imposing Nonlinear Constraints
5.4 G@RCH and OxGauss
  5.4.1 Calling Gauss Programs from Ox
  5.4.2 Understanding OxGauss
  5.4.3 Graphics Support in OxGauss
6 Value-at-Risk (VaR) estimation using G@RCH
6.1 VaR Models
  6.1.1 RiskMetrics^TM
  6.1.2 Normal APARCH
  6.1.3 Student APARCH
  6.1.4 Skewed-Student APARCH
6.2 Application
  6.2.1 Model for VaR assessment
  6.2.2 In-sample VaR
  6.2.3 Out-of-sample VaR
7 Realized Volatility and Intraday Periodicity
7.1 Introduction to diffusion models
  7.1.1 Standard Brownian motion / Wiener process
  7.1.2 Generalized Wiener Process
7.2 Integrated Volatility
  7.2.1 Theoretical background
  7.2.2 Illustration of the concept of integrated volatility
7.3 Realized Volatility
7.4 Jumps
7.5 Intraday Periodicity
  7.5.1 Data
  7.5.2 Evidence of intraday periodicity
  7.5.3 Classical and robust estimation of intraday periodicity
  7.5.4 First illustration on simulated data
  7.5.5 Second illustration on EUR/USD data
7.6 Robust to jumps volatility measures
  7.6.1 Bi-Power Variation
  7.6.2 Realized Outlyingness Weighted Variance
  7.6.3 MinRV and MedRV
7.7 Daily jump tests
7.8 Intraday jump tests
7.9 Multivariate case
  7.9.1 Realized Quadratic Covariation
  7.9.2 Realized BiPower Covariation
  7.9.3 ROWQCov
  7.9.4 Correction factor for ROWVar and ROWQCov
8 Getting started with RE@LIZED
8.1 Univariate non parametric volatility
8.2 Intraday tests for jumps
8.3 Multivariate non parametric volatility
8.4 The Realized class
9 Multivariate GARCH Models
9.1 Introduction
9.2 Estimating MGARCH Models with G@RCH
  9.2.1 Misspecification Tests
9.3 Graphics
9.4 Forecasts
  9.4.1 Exclusion Restrictions Dialog Box
  9.4.2 Linear Restrictions Dialog Box
  9.4.3 Store in Database Dialog
9.5 Overview of models
  9.5.1 Conditional mean specification
  9.5.2 Generalizations of the univariate standard GARCH model
  9.5.3 Linear combinations of univariate GARCH models
  9.5.4 Conditional correlation models
9.6 Estimation
  9.6.1 Maximum Likelihood
  9.6.2 Two-step estimation
  9.6.3 Variance Targeting
9.7 Diagnostic Checking
  9.7.1 Portmanteau Statistics
  9.7.2 CCC Tests
9.8 Batch code
9.9 Importing the MGarch Class in Ox
  9.9.1 MGarchEstim.ox example
9.10 Simulations
10 Structure of the Program
10.1 Classes and Functions
10.2 Garch Member Functions List
10.3 Garch Members Functions
10.4 MGarch Member Functions List
10.5 MGarch Members Functions
10.6 Realized Member Functions List
10.7 Realized Members Functions