The MathWorks Broadens Financial Engineering Offerings With Toolbox For Econometrics
The MathWorks, Inc. has announced the MATLAB GARCH Toolbox 1.0, the Company's first entry into econometric modeling and the latest financial engineering companion product to MATLAB, The MathWorks' core product. Designed for financial engineers in such diverse fields as econometrics, risk management, portfolio management and asset allocation, option pricing, and foreign exchange, the GARCH Toolbox extends the numeric and visualization capabilities of MATLAB, providing essential tools for modeling the volatility of univariate economic time series.
"We're excited to offer a powerful computational and graphical solution to the econometrics market," said Eugene McGoldrick, Ph.D., Development Manager, Financial Products, at The MathWorks. "For the first time, users can take advantage of access to MATLAB source code to customize their own models and test a variety of different scenarios to better understand volatility in financial instruments. In the future, we plan to expand our econometrics offerings."
Today, many Generalized Autoregressive Conditional Heteroskedasticity (GARCH) products are single function, point-and-click tools that prevent users from developing their own models. In contrast, the GARCH Toolbox provides users with a library of functions and access to its source code to enable custom programming of analytics. As a result, users may view, edit, and modify the toolbox's analytics or add their own to optimize and validate models, and incorporate proprietary features.
Because The MathWorks' GARCH Toolbox is MATLAB-based, users not only gain functionality for GARCH modeling, but also access to MATLAB and its application-specific toolboxes to extend the functionality of their volatility models. MATLAB provides users with built-in capabilities for programming, mathematical functions, and data analysis. The companion toolboxes offer specific functionality, such as the Systems Identification Toolbox for time series analysis, the Database Toolbox and Excel Link for data connectivity, and others for signal processing, neural network, and wavelet applications. With the GARCH Toolbox and the MATLAB family of products, The MathWorks offers an integrated environment for understanding the volatility of economic time series through advanced econometric techniques.
"MATLAB's ease of use and direct applicability to the types of economics problems I study makes it my language of choice in all situations - I use it extensively both in research and teaching," said Blake LeBaron, Professor of Finance, Graduate School of International Economics and Finance, Brandeis University. "In class, MATLAB allows us to explore and rethink the construction of many econometrics tools from the ground up, and for the students, MATLAB is very quick to learn."
The GARCH Toolbox uses a general ARMAX/GARCH composite model to perform simulation, forecasting, and parameter estimation of univariate time series. Support functions perform tasks such as pre- and post-estimation diagnostic testing, hypothesis testing of residuals, model order selection, and time series transformations. The graphics capabilities of MATLAB allow users to plot correlation functions and visually compare matched innovations, volatility, and return series. With the GARCH Toolbox, users can:
The MATLAB GARCH Toolbox is available immediately and can be purchased from The MathWorks Store at telnet://www.mathworks.com/store for Windows 95, 98, and NT, and UNIX platforms. North American pricing for the toolbox starts at $995 and requires MATLAB 5.3 and the Statistics and Optimization Toolboxes.
Established in 1984, The MathWorks, Inc., a company of 500 people based in Natick, Mass., develops, markets, and supports MATLAB, Simulink, and a family of data analysis toolboxes for engineers, scientists, and technical professionals. MATLAB provides the foundation and computational engine for all of The MathWorks products. Widely recognized as the industry's premier language for technical computing, MATLAB provides comprehensive math and visualization functionality, and a powerful high-level language for users to interactively explore, analyze, design, and prototype solutions to their problems. Simulink is a graphical, block-diagram environment for modeling, analyzing, and simulating a broad range of dynamic nonlinear systems. Application toolboxes are available for specialized functions. The MathWorks products are used throughout the world in industries such as automotive, aerospace, environmental, telecommunications, computer peripherals, economics, finance, and medical. More than 400,000 users at the world's leading industrial, government, and education organizations rely on The MathWorks products for tremendous gains in productivity.