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Archmodels.Jl: Estimating Arch Models in Julia
| Content Provider | Scilit |
|---|---|
| Author | Broda, Simon A. Paolella, Marc S. |
| Copyright Year | 2020 |
| Description | Journal: SSRN Electronic Journal This paper introduces ARCHModels.jl, a package for the Julia programming language that implements a number of univariate and multivariate ARCH-type models. This model class is the workhorse tool for modelling the conditional volatility of financial assets. Their distinguishing feature 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. |
| Related Links | https://www.zora.uzh.ch/id/eprint/186901/7/SSRN-id3551503.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3551503 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3551503 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2020-03-09 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Statistics and Probability Value At Risk |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
