G@RCH Professional

G@RCH Professional, version 4, is an GiveWin/OxMetrics desktop 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 GiveWin/OxMetrics graphical interface). For repeated tasks, the models can be estimated via the `Batch Editor' of GiveWin/OxMetrics or the Ox programming language (several example files are provided using the G@RCH class).

G@RCH is distributed with a book reviewing some of the most recent contributions in this field:

• Conditional Mean: ARMA, ARFIMA, ARCH-in-Mean, Explanatory Variables;
• Conditional Variance: GARCH, EGARCH, GJR, APARCH, IGARCH, RiskMetrics, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH; Explanatory Variables;
• (Quasi-)Maximum Likelihood: Normal, Student, GED or skewed-Student distribution;
• Constraint Maximum Likelihood, Simulated Annealing;
• (Mis)Specifications Tests: Information Criteria, Jarque-Bera, Box-Pierce statistics, LM ARCH test, Sign Bias Test, Pearson goodness-of-fit, The Nyblom stability test, Residual-Based Diagnostic for for Conditional Heteroscedasticity, etc;
• Value-at-Risk, Expected shortfall, Backtesting (Kupiec LRT, Dynamic Quantile test);
• Forecasting, Realized volatility.