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s-broda
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ARCHModels.jl
A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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CompatHelper: add new compat entry for Statistics at version 1, (keep existing compat)
#115
github-actions[bot]
closed
5 months ago
0
CompatHelper: add new compat entry for DelimitedFiles at version 1, (keep existing compat)
#114
github-actions[bot]
closed
1 year ago
0
Test on latest 1.x
#113
s-broda
closed
1 year ago
0
CompatHelper: bump compat for HypothesisTests to 0.11, (keep existing compat)
#112
github-actions[bot]
closed
1 year ago
0
tweak precompilation and bump version
#111
s-broda
closed
1 year ago
0
CompatHelper: bump compat for StatsBase to 0.34, (keep existing compat)
#110
github-actions[bot]
closed
5 months ago
0
Migrate from SnoopPrecompile to PrecompileTools
#109
timholy
closed
1 year ago
0
CompatHelper: bump compat for StatsModels to 0.7, (keep existing compat)
#108
github-actions[bot]
closed
1 year ago
0
External regressor
#107
waynelapierre
opened
1 year ago
1
Deprecate TGARCH to TARCH or GJRGARCH?
#106
s-broda
opened
1 year ago
2
Fix arma predictions at horizons greater than one.
#105
s-broda
closed
1 year ago
0
Fit and predict ARMA
#104
luboshanus
closed
1 year ago
10
Several fixes
#103
s-broda
closed
1 year ago
0
Empty volatilities, bounds errors
#102
ancapdev
closed
1 year ago
2
CompatHelper: bump compat for StatsFuns to 1, (keep existing compat)
#101
github-actions[bot]
closed
1 year ago
0
CompatHelper: bump compat for Roots to 2, (keep existing compat)
#100
github-actions[bot]
closed
1 year ago
0
Updates for 1.7
#99
s-broda
closed
2 years ago
0
Predict
#98
s-broda
closed
2 years ago
0
Multi-step predict for volatility
#97
nlmm7
closed
2 years ago
1
Use PreallocationTools.jl
#96
s-broda
closed
2 years ago
1
GARCH-M
#95
tbeason
opened
2 years ago
3
simulate from initial value
#94
tbeason
opened
2 years ago
1
`meanspect = Intercept()` doesn't work?
#93
nilshg
closed
2 years ago
1
Performance of `simulate` for DCC
#92
nilshg
closed
3 years ago
3
Failure to fit complicated models: handle errors gracefully?
#91
chm-von-tla
opened
3 years ago
2
commit Bollerslev and Ghysels(JBES 1996) dataset to repo instead of downloading
#90
chm-von-tla
closed
3 years ago
1
work with high frequency data
#89
waynelapierre
closed
3 years ago
1
rolling estimation
#88
waynelapierre
opened
3 years ago
1
Addition of skewed distributions for the innovation terms
#87
chm-von-tla
closed
3 years ago
4
Add Hansen's Standardized Skewed T Distribution
#86
chm-von-tla
closed
3 years ago
7
GOGARCH
#85
waynelapierre
opened
3 years ago
2
Multi-step forecast error
#84
azev77
closed
3 years ago
1
add multi-step predictions for returns and VaR
#83
SebRollen
closed
3 years ago
5
Multiperiod prediction for multivariate models
#82
SebRollen
opened
3 years ago
0
TagBot trigger issue
#81
JuliaTagBot
closed
3 years ago
18
ARCHModels conflicting with other packages
#80
azev77
closed
3 years ago
1
CompatHelper: bump compat for "Reexport" to "1.0"
#79
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "SpecialFunctions" to "1.2"
#78
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "SpecialFunctions" to "1.1"
#77
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "SpecialFunctions" to "1.0"
#76
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "DataFrames" to "0.22"
#75
github-actions[bot]
closed
3 years ago
0
Using lagged x variables in regression
#74
azev77
opened
3 years ago
1
CompatHelper: bump compat for "Distributions" to "0.24"
#73
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "StableRNGs" to "1.0"
#72
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "Optim" to "1.2"
#71
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "Optim" to "1.1"
#70
github-actions[bot]
closed
3 years ago
0
CompatHelper: bump compat for "Optim" to "1.0"
#69
github-actions[bot]
closed
3 years ago
1
CompatHelper: bump compat for "DataStructures" to "0.18"
#68
github-actions[bot]
closed
3 years ago
0
Update univariatearchmodel.jl
#67
azev77
opened
4 years ago
2
Display mean spec
#66
azev77
opened
4 years ago
1
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