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JuliaStats / TimeModels.jl

Modeling time series in Julia
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Is GARCH tested? #62

Closed pkofod closed 4 years ago

pkofod commented 8 years ago

Updating Optim I came across this https://github.com/JuliaStats/TimeModels.jl/blob/906bf811d62544e43c755d5cf2d9aa2a52115216/src/GARCH.jl#L104 . The 3-touple output has not been in Optim for a long time, so I am wondering if you are testing this properly? I would have to guess that this code would cause an error with any somewhat recent Optim version.

GordStephen commented 8 years ago

That's likely - this package has been somewhat dormant for a while. We had some momentum on state-space models last fall but not too much work on the GARCH front.