In the plot, we have the mean forecast (line), and the 95% confidence interval represented by the shaded area.
In this plot, we show the local volatility (aka forecast standard error) over the forecast horizon. Note that volatility revert to…
In this plot, the local (aka forecast error) and term structure volatility forecast are plotted together. Note that both curve con…
In this GARCH(1,1) forecast table (generated by NumXL Forecast wizard), the volatility term structure forecast are shown in the re…
The NumXL Forecast wizard/dialog pops up. The model reference cell is already selected and grayed out in the dialog.
After you select the top cell in GARCH(1,1) Model table, locate the forecast icon in NumXL toolbar (aka Tab), and click it to Invo…
After we calibrate the GARCH(1,1) model, and verified its assumptions by examining the residuals, we are ready to use it for forec…
A QQ Plot for the standardized residuals of the calibrated GARCH(1,1) model.
A histogram plot for the standardized residuals of the calibrated GARCH(1,1) model with an overlay Gaussian distribution curve.
In the residuals diagnosis table, we perform a statistical test for the presence of inter dependency(aka serial correlation) in th…
In the residuals diagnosis table, we perform a statistical test for the ARCH Effect (i.e. presence of inter dependency(aka serial…
In the residuals diagnosis table, we perform a statistical test for the normal distribution assumption of the of the standardized…
In the residuals diagnosis table, we perform a statistical test for the significance of the standardized residuals excess-kurto…
In the residuals diagnosis table, we perform a statistical test for the significance of the standardized residuals distribution…
In the residuals diagnosis table, we perform a statistical test for the significance of the standardized residuals standard dev…
In the residuals diagnosis table, we perform a statistical test for the significance of the standardized residuals mean against…
In the generated GARCH model table, the rightmost section contains tests and check for the standardized residuals to verify the un…
Upon solver successful completion, the optimal values of the GARCH(1,1) model are inserted in the table, and calculation referenci…
Excel Solver found a solution for the calibration problem of the GARCH Model
NumXL launch Excel Solver with its fields initialized with model's cells: parameters, utility function (i.e. LLF) and the constrai…
Select the header cell of the model table, Locate the calibration icon in NumXL Toolbar (aka Tab), in the Power Tools section, and…