MATLAB: What are MATLAB tests to check predictive performance of a fitted model

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A model that fits data well does not necessarily imply that it will forecast well. I know cross validation is one method for checking forecasting strength rather than fit strength. Are there any additional tests that MATLAB can do besides crossval that tests the ability of a model to forecast?

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No, Matlab does not offer any functions to test the predictive performance. I don't even use Matlab's cross validation function. After studying some textbooks I implemented my own functions to test the predictive performance. I am afraid you have to do the same.

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MATLAB: How to assess adequacy of fitted GARCH model

When you fit an ARIMA model to a time series the residuals should exhibit no heteroscedasticity. If they do you fit an ARIMA/GARCH model. The model is adequate if the residuals have no significant autoregressive conditional hetereoscedasticity once they have been standardized by their conditional volatility. That is how you assess the adequacy of a GARCH model according to one of my textbooks. In addition you can do a visual inspection. Plot the residuals and the GARCH volatility and check if the model is capable of capturing volatility clustering.

MATLAB: Predicting machine performance using neural network

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Hope this helps.

Thank you for formally accepting my answer

Greg

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MATLAB: How to assess adequacy of fitted GARCH model

MATLAB: Predicting machine performance using neural network

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