Econometrics Toolbox

Monte Carlo Simulation

Econometrics Toolbox lets you perform Monte Carlo simulations to generate forecast distributions of both single and multiple time-series models, including univariate ARMAX/GARCH composite models,multivariate VARMAX models, and state-space models.

Forecast results using Monte Carlo simulation with the garchsim function.

Forecast results using Monte Carlo simulation. Time-series plots of historical NASDAQ Index value and daily returns (left) are inputs to the garchsim function, which is used to generate a 30-day ahead forecast distribution with 100 possible paths (right).

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