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NumXL
NumXL is an Excel Add-in that provides users an intuitive and powerful solution for time series analysis and forecasting.
NumXL wraps common mundane calculations such as auto-correlation, log-likelihood, model fitting/calibration, residuals diagnosis, forecasting and much more, and into a simple extension of Excel. You can use NumXL functions via Excel menus, entering them directly into your workbook cells, or by using the Excel function wizard. Once a spreadsheet is created with NumXL functions for a data set, running the same analysis for different data (or the same but with new observations) is as simple as copying & pasting.
As a result, Excel does the work for you, so you can focus your efforts on the devising the proper model, back-testing, examining different scenarios. NumXL's functionality also allows you to present your conclusions/recommendations in a tractable report.
All NumXL functions have been intensively tested against other software to guarantee users full reliable results.
Descriptive Statistics
- Population mean, variance, skew, and excess kurtosis tests.
- Normality test
- White-noise test
- ARCH Effect test
Time Series Operators
- LAG and Difference operators.
- Weighted-moving average (WMA)
- Exponential weighted-moving average (EWMA)
- Correlation function - correlation and exponential-weighted correlation functions
- Autocorrelation and partial-autocorrelation functions
Model's Fitting Functions
- Log-likelihood function (LLF)
- Akaike Information Criterion (AIC)
Models supported
- Autoregressive moving average (ARMA/ARIMA and ARMAX)
- Generalized Linear Model (GLM)
- Generalized autoregressive conditional heteroskedacity Models (ARCH/GARCH)
- Exponential GARCH
- GARCH in the mean (GARCH-M)
