MATLAB Codes:
MATLAB is a programming and numerical computing platform for mathematical scientists to analyse data and create models. The software is found at https://www.mathworks.com/products/matlab.html
FCVAR model
The Cointegrating Vector Autoregressive (FCVAR) model allows for testing cointegration among three on more variables. It is an extension of the FC test. I have a few papers in which this FCVAR R code has been implemented. Download the MATLAB code by clicking here.
GARCH-MIDAS Regression
GARCH-MIDAS regression is an extension of MIDAS (Mixed Data Sampling) that allows Cfor to regress y-variable data of different frequencies on x-variable. In the case of GARCH-MIDAS, the y-variable is daily frequency data with volatility, hence GARCH-MIDAS. Download the GARCH-MIDAS MATLAB code by clicking here.
Specifically, a paper: "Economic Policy Uncertainties and the predictions of Japanese sectoral stocks’ volatilities: Evidence from GARCH-MIDAS Regression". Download its MATLAB code here, and the data here. Cite as:
Yaya, O. S. (2025). GARCH-MIDAS-X code for estimation and prediction [accessed on 03 January, 2025] https://sites.google.com/view/olaoluwasyaya/home/matlab-program-codes
DCC-MIDAS Regression
The DCC-MIDAS, i.e. DCC-GARCH-MIDAS is the multivariate case of GARCH-MIDAS regression where two or more dependent y-variables are involved. This has been implemented in the paper Yaya, O. S., Ogbonna, A., E., Adesina, A. O., Alobaloke, K. and Vo, X. V. (2022). Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. Resources Policy, 79, 103036. https://doi.org/10.1016/j.resourpol.2022.103036. Download the DCC-MIDAS MATLAB code by clicking here.