The ARCH/GARCH modeling functionality automates the GARCH (or one of its variants) of model construction steps using NumXL: guessing initial parameters, parameters validation, goodness of fit testing and residuals diagnosis.

GARCH Modeling tutorial video

To use this functionality, select the corresponding icon on the toolbar (or the menu item)


point to the data sample on your worksheet, select the corresponding order of the autoregressive conditional heteroskedacity (ARCH) component model, and the order of the moving -average (GARCH) component model, goodness of fit tests, residual diagnosis, and finally designate a location on your worksheet to print the model.


Upon completion, the GARCH modeling function prints the selected model's parameters and selected tests/calculation in the designated location of your worksheet.

GARCH output

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