G@RCH 是 OxMetrics ™
應用程式專用於估計和預測的單拱型變數模型。G@RCH 提供方便使用的介面 （與捲動功能表） 以及一些圖形功能 （通過 OxMetrics
圖形介面)。對於重複的任務，模型可以 OxMetrics 或程式設計的語言 (幾個示例檔提供使用 G@RCH 類) Ox估計通過批次處理編輯器的
' 外 '。G@RCH 也是 OxMetrics 企業 Edition.G@RCH 6 的一部分。
6.1 is an OxMetrics ™ application dedicated to the estimation and
forecasting of univariate ARCH-type models. G@RCH provides a
user-friendly interface (with rolling menus) as well as some graphical
features (through the OxMetrics graphical interface). For repeated
tasks, the models can be estimated via the `Batch Editor' of OxMetrics
or the Ox programming language (several example files are provided using
the G@RCH class). G@RCH is also part of OxMetrics Enterprise Edition.
6.1 is a software dedicated to the estimation and the forecasting of
univariate and multivariate (G)ARCH models and many of its extensions.
It can be used within OxMetrics or via the classic programming way
(using OxEdit for instance) for those who have access to the Ox
The available univariate models are all ARCH-type models. These include
ARCH, GARCH, EGARCH, GJR, APARCH, IGARCH, RiskMetrics, FIGARCH ,
FIEGARCH , FIAPARCH and HYGARCH. They can be estimated by approximate
(Quasi-) Maximum Likelihood under one of the four proposed distributions
for the errors (Normal, Student-t, GED or skewed-Student). Moreover,
ARCH-in-mean models are also available and explanatory variables can
enter the conditional mean and/or the conditional variance equations.
G@RCH 6.1 also propose the some multivariate GARCH specifications
including the scalar BEKK, diagonal BEKK, full BEKK, RiskMetrics, CCC,
DCC, DECO, OGARCH and GOGARCH models.
Finally, h-steps-ahead forecasts of both equations are available as well
as many univariate and multivariate miss-specification tests (Nyblom,
Sign Bias Tests, Pearson goodness-of-fit, Box-Pierce, Residual-Based
Diagnostic for conditional heteroscedasticity, Hosking’s portmanteau
test, Li and McLead test, constant correlation test, …).