A list of free Matlab toolboxes for Statistics and Financial Econometrics.
- MFE toolbox by Kevin Sheppard
- Econometrics Toolbox by James P. LeSage
A selection of functions and routines from Matlab users community (here you can find much more).
- ARMAX-GARCH Toolbox by Alexandros Gabrielsen. It estimates, forecasts and simulates a large variety of ARMA and GARCH models.
- MS Regress by Marcelo Perin. A Package for Markov Regime Switching Models.
- ARFIMA simulations by Simone Fatichi. The code generally simulates an ARFIMA(p,d,q) model.
- Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou. Functions to estimate copula GARCH and copula Vine models.
- Risk and Asset Allocation by Attilio Meucci. Software for quantitative portfolio and risk management.
- Copula toolbox for Matlab by Andrew Patton. It contains CDFs, PDFs, log-likelihoods and random number generators for many common bivariate copulas, including the Clayton, Gumbel, Normal, Student’s t, Frank, Plackett and symmetrised Joe-Clayton (SJC) copulas.