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GARCH Models and Wavelets(SWT) in Matlab

I just need to know is it possible to fit and forecast the GARCH,EGARCH,AGARCH,GJR-GARCH models with wavelets (Stationary wavelet transformer Db5, LEVEL 4) in Matlab. I tried to fit the standard GARCH ...
3
votes
1answer
125 views

How to eliminate border effects on Wavelet denoising?

After reading a few references here to wavelets, I'm trying to denoise (or at least 'compress') a time-series of forex prices using a Daubechy04 wavelet (forward tranform, 8 most important (in ...
5
votes
1answer
236 views

Practical Usage of Wavelets with Real Time Data

There are a lot of papers out there which make attempts to forecast or discuss the benefits of wavelets for frequency decomposition. Oddly, very few discuss the huge boundary effects that are present ...