Excel GARCH Addin

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walterzelhofer
Posts: 9
Joined: Thu Apr 11, 2013 7:06 am

Excel GARCH Addin

Postby walterzelhofer » Thu Apr 11, 2013 11:24 pm

Hello everyone. I wrote an easy to use Excel plugin a while back that attempts to find the parameters to the various Garch models shown in volume 2. Since I don't have the money for Matlab, I took the liberty of writing my own algorithm in VBA. This plugin does a much better job than the excel solver and can reach much higher values for the log likelihood. I thought I should share, since it could be useful to you guys. Here are some notes:

1. EGarch is very slow and you will have to change the maximum run time to much greater than one minute. It does find the optimal values, but it takes a while. Also, I think there's a mistake in volume 2: there IS a constraint in EGarch on Beta, since if Beta = 1, then the long-term variance is undefined. Just a thought...
2. Garch and AGarch are pretty quick, and should converge in a couple seconds.
3. Convergence problems sometimes arise with the AGarch model if you impose a long term volatility that doesn't fit the data well enough.
4. If you click on the text next to any of the input fields, more info will pop up related to that field. I've also given credit to Prof. Alexander, if you click the FIN logo you'll see it along with my contact info.

To install the add in by:
1. Download and rename the file extension to .xlam instead of .doc. (This forum prohibits posting xlam files for some reason)
2. File-->Excel Options -->Add-Ins-->Manage Excel Addins Go --> Browse (Locate the file once you've downloaded it) and hit Ok.

You can access the addin from the Addins tab in the ribbon (assuming you have excel 2007 or higher), it'll be called FIN Garch Optimizer. The add-ins section in excel might be located somewhere else if you have an older version, but the plugin should still work fine. VBA does NOT work on Mac, sorry folks.

Any and all feedback is welcome!
Cheers

-Walter Zelhofer Jr.
Attachments
Garch Optimizer User Interface.jpg
Garch Optimizer User Interface.jpg (164.17 KiB) Viewed 9411 times
Garch Optimizer.doc
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Last edited by walterzelhofer on Thu Apr 11, 2013 11:37 pm, edited 3 times in total.

walterzelhofer
Posts: 9
Joined: Thu Apr 11, 2013 7:06 am

Re: Excel GARCH Addin

Postby walterzelhofer » Thu Apr 11, 2013 11:27 pm

Apparently, this forum prohibits posting excel addins... I've changed the extension to .doc. Once you download it, right-click and rename it to .xlam for it to work. Prof. Alexander, could you fix this issue please so we don't need a workaround for the future? Thanks

walterzelhofer
Posts: 9
Joined: Thu Apr 11, 2013 7:06 am

Re: Excel GARCH Addin

Postby walterzelhofer » Sun Jul 21, 2013 3:45 am

If you guys try the addin, please let me know what you think of it: I'd like to hear some feedback, all critiques are welcome :)

For instance:

1. Was the optimizer able to find the optimal values of the parameters and how does the log likelihood compare to Matlab or Eviews?
2. Would you like any other features? Please be specific.
3. Was the plugin easy to install?
4. Is the interface user friendly and approachable?
5. Did you find any bugs or crashes? If so, can you replicate the problem? How did it occur?

Thanks guys!

-Walter Z.

cedbourge
Posts: 6
Joined: Fri Oct 05, 2012 11:54 am

Re: Excel GARCH Addin

Postby cedbourge » Thu Jul 25, 2013 6:17 pm

Hello,

Can you know let us know what is the password to inspect the VBA code ?

Thks

walterzelhofer
Posts: 9
Joined: Thu Apr 11, 2013 7:06 am

Re: Excel GARCH Addin

Postby walterzelhofer » Fri Sep 06, 2013 1:08 pm

I'm currently working on adding the student's t-distribution as an option since right now all three models are based on the Gaussian assumption, and the t-distribution tends to provide a better fit. The problem is that recomputing the LLF is considerably slower, and I'm trying my best to reduce function calls to the LLF wherever possible to speed things up. I'll post the new version (possibly with the password) on here once the code is fully commented and I've successfully added this feature.

Cheers,

-Walter

walterzelhofer
Posts: 9
Joined: Thu Apr 11, 2013 7:06 am

Question for Carol

Postby walterzelhofer » Fri Oct 04, 2013 11:09 pm

Dearest Professor Alexander,

I was wondering if you had an excel file that demonstrates the covariance matrix for the garch parameters (the one that you say is derived from the information matrix and the second derivatives in relation to the LLF) so that I can add that to my excel addin as well: I would like to output the t-ratios for the parameters alongside the parameter estimates (so that my program would be on par with standard econometric software). If we could add that to my program, I believe it would become a very useful excel tool for the community.

Thanks a million!

-Walter


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