ARCHModels.jl: Estimating ARCH Models in Julia
Dublin Core
Title
ARCHModels.jl: Estimating ARCH Models in Julia
Subject
ARCH, GARCH, CCC, DCC, Value at Risk, Julia.
Description
This paper introduces ARCHModels.jl, a package for the Julia programming language
that implements a number of univariate and multivariate autoregressive conditional heteroskedasticity models. This model class is the workhorse tool for modeling the conditional
volatility of financial assets. The distinguishing feature of these models is that they model
the latent volatility as a (deterministic) function of past returns and volatilities. This recursive structure results in loop-heavy code which, due to its just-in-time compiler, Julia
is well-equipped to handle. As such, the entire package is written in Julia, without any
binary dependencies. We benchmark the performance of ARCHModels.jl against popular implementations in MATLAB, R, and Python, and illustrate its use in a detailed case
study
that implements a number of univariate and multivariate autoregressive conditional heteroskedasticity models. This model class is the workhorse tool for modeling the conditional
volatility of financial assets. The distinguishing feature of these models is that they model
the latent volatility as a (deterministic) function of past returns and volatilities. This recursive structure results in loop-heavy code which, due to its just-in-time compiler, Julia
is well-equipped to handle. As such, the entire package is written in Julia, without any
binary dependencies. We benchmark the performance of ARCHModels.jl against popular implementations in MATLAB, R, and Python, and illustrate its use in a detailed case
study
Creator
Simon A. Broda
Source
https://www.jstatsoft.org/article/view/v107i05
Publisher
Lucerne University of
Applied Sciences and Arts
Applied Sciences and Arts
Date
September 2023
Contributor
Fajar bagus W
Format
PDF
Language
English
Type
Text
Files
Collection
Citation
Simon A. Broda, “ARCHModels.jl: Estimating ARCH Models in Julia,” Repository Horizon University Indonesia, accessed May 11, 2025, https://repository.horizon.ac.id/items/show/8308.