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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Archmodels.Jl: Estimating Arch Models in Julia
Organization Unit
Authors
  • Simon A Broda
  • Marc Paolella
Language
  • English
Institution University of Zurich
Series Name Econometrics: Computer Programs & Software SSRN eJournal
Number 3551503
ISSN 1556-5068
Number of Pages 17
Date 2020
Abstract Text 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.
Free access at DOI
Digital Object Identifier 10.2139/ssrn.3551503
Other Identification Number merlin-id:19349
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Keywords ARCH, GARCH, CCC, DCC, Value at Risk, Julia