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Econometrics Toolbox

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling economic data. You can select and calibrate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, and cointegration analysis. It also provides methods for modeling economic systems using state-space models and for estimating using the Kalman filter. You can use a variety of diagnostic functions for model selection, including hypothesis, unit root, and stationarity tests.

MATLAB의 칼리브레이션과 몬테카를로 시뮬레이션을 이용한 이자율 모델링

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Stuart Kozola

What's New

From Stuart Kozola, Econometrics Toolbox Technical Expert