ARCHModels.jl: Estimating ARCH Models in Julia
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 dis...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2023-09-01
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| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4714 |
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