This is the Linux app named The ARCHModels Package for Julia whose latest release can be downloaded as v2.6.1sourcecode.tar.gz. It can be run online in the free hosting provider OnWorks for workstations.
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The ARCHModels Package for Julia
DESCRIPTION
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
This is an application that can also be fetched from https://sourceforge.net/projects/the-archmodels-package.mirror/. It has been hosted in OnWorks in order to be run online in an easiest way from one of our free Operative Systems.