The Financial Analysis Application (FANPAC) provides econometric tools commonly implemented for estimation and analysis of financial data. The FANPAC application allows users to tailor each session to their specific modeling needs and is designed for estimating parameters of univariate and multivariate Generalized Autoregressive Conditionally Heteroskedastic (GARCH) models.

 

Supported models include:

BEKK GARCH model

Diagonal vec multivariate models:

GARCH model
Fractionally integrated GARCH model
GJR GARCH model

Multivariate constant conditional correlation models:

GARCH model
Exponential GARCH model
Fractionally integrated GARCH model
GJR GARCH model

Multivariate dynamic conditional correlation models:

GARCH model
Exponential GARCH model
Fractionally integrated GARCH model
GJR GARCH model

Multivariate factor GARCH model

Generalized orthogonal GARCH model

Univariate time series models:

GARCH model
OLS
ARIMA

 

 

Modeling flexibility provided with user-specified modeling features including (when applicable):

GARCH, ARCH, autoregressive, and moving average orders

Flexible enforcement of stationarity and nonnegative conditional variance requirements

Pre-programmed, user controlled Boxcox data transformations

Error density functions (Normal, Student’s t, or skew t-distribution)

 

GAUSS FANPAC output includes:

Estimates of model parameters

Moment matrix of parameter estimates

Confidence limits

Time series and conditional variance matrices forecasts

 

FANPAC tools facilitates goodness of fit analysis including:

Reported Akaike and Bayesian information criterion

Computed model residuals

Computed roots of characteristic equations

GARCH time series data simulation

Andrews simulation method statistical inference

Time series ACF and PACF computation

Data and diagnostic plots including:

ACF and PACF
Standardized residuals
Conditional correlations, standard deviations, and variance
Quantile-quantile plots

Residual diagnostics including skew, kurtosis, and Ljung-Box statistics

 

Examples

GARCH model with Student’s t distribution.

 

Platform: Windows, Mac, and Linux.

 

Requirements: GAUSS/GAUSS Light version 10.0 or higher.