the archmodels package for julia

We have hosted the application the archmodels package for julia in order to run this application in our online workstations with Wine or directly.

Quick description about the archmodels package for julia:

ARCH (Autoregressive Conditional Heteroskedasticity) models are a class of models designed to capture a feature of financial returns data known as volatility clustering, i.e., the fact that large (in absolute value) returns tend to cluster together, such as during periods of financial turmoil, which then alternate with relatively calmer periods. This package provides efficient routines for simulating, estimating, and testing a variety of GARCH models. ARCH (Autoregressive Conditional Heteroskedasticity) models are a class of models designed to capture a feature of financial returns data known as volatility clustering, i.e., the fact that large (in absolute value) returns tend to cluster together, such as during periods of financial turmoil, which then alternate with relatively calmer periods.

Features:

• Documentation available
• ARCHModels is a registered Julia package
• A Julia package for estimating ARMA-GARCH models
• This package implements simulation, estimation, and model selection
• Examples available

Programming Language: Julia.
Categories: