FANPAC MT
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Contains procedures for the analysis of categorical data using loglinear analysis.

Description
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The **Financial Analysis Application MT** (**FANPAC MT**) provides econometric tools commonly implemented for estimation and analysis of financial data. **FANPAC MT** allows users to tailor each session to their specific modeling needs and is designed for estimating parameters of univariate and multivariate Generalized Autoregressive Conditionally Heteroskedastic (GARCH) models.

Installation
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If you're interested in purchasing **FANPAC MT** Please `contact us <https://www.aptech.com/contact-us>`_ to request pricing and installation information.

If you already own **FANPAC MT** , you can use the `GAUSS Package Manager <https://www.aptech.com/blog/gauss-package-manager-basics/>`_ for quick download and installation.

Requires GAUSS/GAUSS Engine/GAUSS Light v10 or higher

Key Features
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Supported Models
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* BEKK GARCH model.  
* Diagonal VEC multivariate models:

    * GARCH model.
    * Fractionally integrated GARCH model.
    * GJR GARCH model.
  
* Multivariate constant conditional correlation models:

    * GARCH model.
    * Exponential GARCH model.
    * Fractionally integrated GARCH model.
    * GJR GARCH model

* Multivariate dynamic conditional correlation models:

    * GARCH model.
    * Exponential GARCH model
    * Fractionally integrated GARCH model.
    * GJR GARCH model.
  
* Multivariate factor GARCH model.  
* Generalized orthogonal GARCH model.  
* Univariate time series models:

    * GARCH model.
    * OLS.
    * ARIMA.

Modeling Flexibility Provided with User-Specified Modeling Features:
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
* GARCH, ARCH, autoregressive, and moving average orders.
* Flexible enforcement of stationarity and nonnegative conditional variance requirements.
* Pre-programmed, user controlled Boxcox data transformations.
* Error density functions (Normal, Student’s t, or skew t-distribution).  

GAUSS FANPAC MT Output Includes:
+++++++++++++++++++++++++++++++++
* Estimates of model parameters.
* Moment matrix of parameter estimates.
* Confidence limits.
* Time series and conditional variance matrices forecasts.

FANPAC MT Tools Facilitate Goodness-of-Fit analysis:
+++++++++++++++++++++++++++++++++++++++++++++++++++++
* Reported Akaike and Bayesian information criterion.
* Computed model residuals.
* Computed roots of characteristic equations.
* GARCH time series data simulation.
* Andrews simulation method statistical inference.
* Time series ACF and PACF computation and plotting.
* Data and diagnostic plots including:

    * Standardized residuals.
    * Conditional correlations, standard deviations, and variance.
    * Quantile-quantile plots.
* Residual diagnostics including skew, kurtosis, and Ljung-Box statistics.