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 and multivariate VARMAX models.
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).
Monte Carlo Simulation of Stochastic Differential Equations
The toolbox also lets you simulate a variety of popular stochastic differential equations (SDEs), interfaces for customizing your own SDE simulation models and methods.
- Simulate common stochastic differential equations with predefined model classes
- Simulate any linear or nonlinear stochastic differential equation with predefined interfaces