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…
In the middle part of GARCH(1,1) model table (aka Goodness of fit), note the formula under the CHECK. The function GARCH_CHECK ref…
The Residuals diagnosis section of GARCH(1,1) model table is dynamic; note the generated formula references the input cells range…
The generated GARCH(1,1) model table is dynamic; note that cells are populated with formulas the references model's parameters cel…
The GARCH(1,1) model output table generated by NumXL GARCH wizard for the S&P 500 ETF log monthly returns time series.
In the NumXL GARCH model wizard, enter the orders of the ARCH and the GARCH components. Leave Model selection to as GARCH
Locate the GARCH icon in NumXL Toolbar (aka Tab), and click it to invoke the ARCH/GARCH Wizard.
A plot for the S&P 500 ETF log monthly returns between Jan 2009 and July 2012
ARCH Effect test results for S&P 500 monthly log returns
Correlogram or ACF and PACF plot for the S&P 500 squared log monthly returns
Plot for the S&P 500 squared monthly log returns.
selecting a white-noise test in NumXL descriptive statistics wizard or dialog box.
Summary Statistics output table for S&P 500 monthly log returns with highlighted white-noise test.
The Correlogram or ACF & PACF plot for S&P 500 monthly log returns. (Generated by NumXL correlogram wizard)
Correlogram output table for the S&P 500 monthly log returns.