Christian Conrad and Julius Schoelkopf (2025)
MF2-GARCH Toolbox for Matlab
A Matlab package for estimating and forecasting using the multiplicative factor multi-frequency GARCH (MF2-GARCH) as proposed in Conrad & Engle (2025), accompanying the paper Long-term volatility shapes the stock markets sensitivity to news by Conrad, Schoelkopf, and Tushteva (2024).
- A comprehensive toolbox for estimating and forecasting volatility using the MF2-GARCH-rw-m.
- Code for four applications: estimation, news impact curve, out-of-sample forecasting, illustration of forecasting behavior
- You can download the package from its GitHub repository.
- Creator and maintainer
