├── Contents.m ├── GUI ├── ARMAX.fig ├── ARMAX.m ├── ARMAX_about.fig ├── ARMAX_about.m ├── ARMAX_close_dialog.fig ├── ARMAX_close_dialog.m ├── ARMAX_viewer.fig ├── ARMAX_viewer.m └── OxLogo.mat ├── README.md ├── addToPath.m ├── bootstrap ├── block_bootstrap.m ├── bsds.m ├── mcs.m └── stationary_bootstrap.m ├── crosssection ├── ols.m └── pca.m ├── distributions ├── composite_likelihood.m ├── gedcdf.m ├── gedinv.m ├── gedloglik.m ├── gedpdf.m ├── gedrnd.m ├── iscompatible.m ├── mvnormloglik.m ├── normloglik.m ├── skewtcdf.m ├── skewtinv.m ├── skewtloglik.m ├── skewtpdf.m ├── skewtrnd.m ├── stdtcdf.m ├── stdtinv.m ├── stdtloglik.m ├── stdtpdf.m └── stdtrnd.m ├── docs ├── MATLAB_Function_Reference_2012_final.lyx ├── MATLAB_Function_Reference_2012_final.pdf ├── chapters │ ├── bootstrap_and_multiple_hypothesis_tests.lyx │ ├── bootstrap_and_multiple_hypothesis_tests.lyx~ │ ├── cross_sectional_analysis.lyx │ ├── density_estimation.lyx │ ├── helper_functions.lyx │ ├── kerneldensity.pdf │ ├── nonstationary_time_series.lyx │ ├── stationary_time_series.lyx │ ├── tsresidualplot.pdf │ ├── vector_autoregressions.lyx │ └── volatility_modeling.lyx └── icon.lyx ├── duplication ├── chi2cdf.m ├── kurtosis.m ├── normcdf.m ├── norminv.m ├── normpdf.m └── skewness.m ├── icon.png ├── mex_source ├── agarch_core.c ├── armaxerrors.c ├── composite_likelihood.c ├── egarch_core.c ├── igarch_core.c └── tarch_core.c ├── multivariate ├── bekk.m ├── bekk_constraint.m ├── bekk_likelihood.m ├── bekk_parameter_transform.m ├── bekk_simulate.m ├── ccc_mvgarch.m ├── ccc_mvgarch_joint_likelihood.m ├── ccc_mvgarch_likelihood.m ├── ccc_mvgarch_simulate.m ├── dcc.m ├── dcc_fit_variance.m ├── dcc_inference_objective.m ├── dcc_likelihood.m ├── dcc_reconstruct_variance.m ├── gogarch.m ├── gogarch_likelihood.m ├── matrix_garch.m ├── matrix_garch_display.m ├── matrix_garch_likelihood.m ├── matrix_garch_simulate.m ├── o_mvgarch.m ├── ogarch_likelihood.m ├── rarch.m ├── rarch_constraint.m ├── rarch_likelihood.m ├── rarch_parameter_transform.m ├── rarch_simulate.m ├── rcc.m ├── rcc_constraint.m ├── rcc_likelihood.m ├── riskmetrics.m ├── riskmetrics2006.m ├── scalar_vt_vech.m ├── scalar_vt_vech_itransform.m ├── scalar_vt_vech_likelihood.m ├── scalar_vt_vech_simulate.m ├── scalar_vt_vech_starting_values.m └── scalar_vt_vech_transform.m ├── project_icon_v2.pdn ├── realized ├── ES_20090817.mat ├── Since the changed in QRV - 2.docx ├── Since the changed in QRV.docx ├── ToDo.docx ├── realized_bipower_variation.m ├── realized_compute_median.m ├── realized_convert2unit.m ├── realized_covariance.m ├── realized_hayashi_yoshida.m ├── realized_kernel.m ├── realized_kernel_bandwidth.m ├── realized_kernel_core.m ├── realized_kernel_jitter_lag_length.m ├── realized_kernel_weights.m ├── realized_min_med_variance.m ├── realized_multiscale_variance.m ├── realized_multivariate_kernel.m ├── realized_noise_estimate.m ├── realized_options.m ├── realized_preaveraged_bipower_variation.m ├── realized_preaveraged_variance.m ├── realized_price_filter.m ├── realized_qmle_variance.m ├── realized_quantile_scales.mat ├── realized_quantile_variance.m ├── realized_quantile_variance_scale.m ├── realized_quantile_weight_simulation.m ├── realized_quarticity.m ├── realized_range.m ├── realized_range_simulation.m ├── realized_range_simulation_results.mat ├── realized_refresh_time.m ├── realized_refresh_time_bivariate.m ├── realized_return_filter.m ├── realized_semivariance.m ├── realized_subsample.m ├── realized_test.m ├── realized_threshold_multipower_variation.m ├── realized_threshold_variance.m ├── realized_twoscale_variance.m ├── realized_variance.m ├── realized_variance_optimal_sampling.m ├── seconds2unit.m ├── seconds2wall.m ├── unit2seconds.m ├── unit2wall.m ├── wall2seconds.m └── wall2unit.m ├── sandbox ├── heavy_test.m ├── sarima.m ├── sarimax_errors.m ├── sarimax_likelihood.m ├── sarma2arma.m └── sdiff.m ├── tests ├── berkowitz.m ├── jarquebera.m ├── kolmogorov.m ├── ljungbox.m └── lmtest1.m ├── timeseries ├── acf.m ├── aichqcsbic.m ├── aicsbic.m ├── arma_forecaster.m ├── armaroots.m ├── armaxerrors.m ├── armaxfilter.m ├── armaxfilter_core.m ├── armaxfilter_likelihood.m ├── armaxfilter_simulate.m ├── augdf.m ├── augdf_cvsim_tieup.m ├── augdfautolag.m ├── augdfcv.m ├── beveridgenelson.m ├── bkfilter.m ├── convert_ma_roots.m ├── grangercause.m ├── heterogeneousar.m ├── hp_filter.m ├── impulseresponse.m ├── impulseresponse_bootstrap.m ├── inverse_ar_roots.m ├── olsnw.m ├── pacf.m ├── sacf.m ├── spacf.m ├── tsresidualplot.m ├── vectorar.m ├── vectorarvcv.m └── weights_to_frequency_response.m ├── univariate ├── agarch.m ├── agarch_core.m ├── agarch_display.m ├── agarch_itransform.m ├── agarch_likelihood.m ├── agarch_parameter_check.m ├── agarch_simulate.m ├── agarch_starting_values.m ├── agarch_transform.m ├── aparch.m ├── aparch_core.m ├── aparch_display.m ├── aparch_itransform.m ├── aparch_likelihood.m ├── aparch_loglikelihood.m ├── aparch_parameter_check.m ├── aparch_simulate.m ├── aparch_starting_values.m ├── aparch_transform.m ├── egarch.m ├── egarch_core.m ├── egarch_display.m ├── egarch_itransform.m ├── egarch_likelihood.m ├── egarch_nlcon.m ├── egarch_parameter_check.m ├── egarch_simulate.m ├── egarch_starting_values.m ├── egarch_transform.m ├── figarch.m ├── figarch_itransform.m ├── figarch_likelihood.m ├── figarch_parameter_check.m ├── figarch_simulate.m ├── figarch_starting_values.m ├── figarch_transform.m ├── figarch_weights.m ├── heavy.m ├── heavy_likelihood.m ├── heavy_parameter_transform.m ├── heavy_simulate.m ├── igarch.m ├── igarch_core.m ├── igarch_display.m ├── igarch_itransform.m ├── igarch_likelihood.m ├── igarch_parameter_check.m ├── igarch_starting_values.m ├── igarch_transform.m ├── tarch.m ├── tarch_core.m ├── tarch_core_simple.m ├── tarch_display.m ├── tarch_itransform.m ├── tarch_likelihood.m ├── tarch_parameter_check.m ├── tarch_simulate.m ├── tarch_starting_values.m └── tarch_transform.m └── utility ├── c2mdate.m ├── chol2vec.m ├── corr_ivech.m ├── corr_vech.m ├── cov2corr.m ├── covnw.m ├── covvar.m ├── demean.m ├── dirod.m ├── gradient_2sided.m ├── hessian_2sided.m ├── hessian_2sided_nrows.m ├── ivech.m ├── m2cdate.m ├── mprint.m ├── mvstandardize.m ├── newlagmatrix.m ├── phi2r.m ├── phi2u.m ├── pltdens.m ├── r2phi.m ├── r2z.m ├── randchar.m ├── robustvcv.m ├── standardize.m ├── vec2chol.m ├── vech.m ├── x2mdate.m └── z2r.m /Contents.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/bashtage/mfe-toolbox/HEAD/Contents.m -------------------------------------------------------------------------------- /GUI/ARMAX.fig: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/bashtage/mfe-toolbox/HEAD/GUI/ARMAX.fig -------------------------------------------------------------------------------- /GUI/ARMAX.m: 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