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GARCH(1,1) - Model stability check
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…
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Generated Formulas in the Residual Diagnosis section of GARCH model table.
The Residuals diagnosis section of GARCH(1,1) model table is dynamic; note the generated formula references the input cells range…
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Generated formulas in the GARCH(1,1) model table
The generated GARCH(1,1) model table is dynamic; note that cells are populated with formulas the references model's parameters cel…
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GARCH(1,1) Model table
The GARCH(1,1) model output table generated by NumXL GARCH wizard for the S&P 500 ETF log monthly returns time series.
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NumXL ARCH/GARCH Wizard
In the NumXL GARCH model wizard, enter the orders of the ARCH and the GARCH components. Leave Model selection to as GARCH
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Selecting GARCH Wizard in NumXL Tab
Locate the GARCH icon in NumXL Toolbar (aka Tab), and click it to invoke the ARCH/GARCH Wizard.
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Plot for S&P 500 monthly log returns
A plot for the S&P 500 ETF log monthly returns between Jan 2009 and July 2012
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The summary statistics table showing ARCH effect test
ARCH Effect test results for S&P 500 monthly log returns
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Correlogram plot for S&P 500 squared log monthly returns
Correlogram or ACF and PACF plot for the S&P 500 squared log monthly returns
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Plot for the S&P 500 squared monthly log returns.
Plot for the S&P 500 squared monthly log returns.
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Select white-noise test in NumXL Descriptive Statistics wizard.
selecting a white-noise test in NumXL descriptive statistics wizard or dialog box.
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Summary Statistics table for S&P 500 monthly log return
Summary Statistics output table for S&P 500 monthly log returns with highlighted white-noise test.
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Correlogram plot for S&P 500 monthly log returns
The Correlogram or ACF & PACF plot for S&P 500 monthly log returns. (Generated by NumXL correlogram wizard)
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Correlogram table for S&P 500 monthly log returns
Correlogram output table for the S&P 500 monthly log returns.
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Plot for S&P 500 monthly log return
Plot for S&P 500 ETF monthly log returns
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Correlogram plot for S&P500 monthly prices
The autocorrelation (ACF) and PACF plot for the S&P 500 log monthly prices
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Correlogram output table for &P 500 log monthly prices
The autocorrelation (ACF) and PACF table for the S&P 500 log monthly prices
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NumXL Correlogram Wizard
NumXL Correlogram Wizard or dialog box
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Correlogram icon in NumXL Tab
NumXL toolbar with correlogram icon selected
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SPDR log-prices
a plot for daily log prices of S&P 500 ETF between Jan 2009, and July 2012
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sp500-price-adftest-tbl.png
Augmented Dickey-Fuller (ADF) test for stationarity. The table is generated using the NumXL ADF Wizard fo r different stationary s…