Learn how to build GARCH models (GARCH, EGARCH, and GJR) using the Econometric Modeler app. The data used in this demo is the historical price of the S&P 500 Index retrieved from FRED using Datafeed Toolbox^TM. Econometric modeling is an iterative process, but it can be much easier and faster using the Econometric Modeler app.

In this demo, you will learn how to:

• Convert price to log-return by applying log and difference transformations
• Perform Engle’s ARCH test
• Fit GARCH(1,1,) EGARCH(1,1), and GJR(1,1)
• Compare the fit statistics of GARCH models
• Perform statistical analyses on residuals
• Export the models to the MATLAB^® workspace to perform Monte Carlo simulation, volatility forecasting, and other tasks