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s-broda / ARCHModels.jl

A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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Deprecate TGARCH to TARCH or GJRGARCH? #106

Open s-broda opened 1 year ago

waynelapierre commented 1 year ago

Any plan to add AP-ARCH model? https://www.financialriskforecasting.com/code/RJulia2.html

s-broda commented 1 year ago

It's definitely within scope, I just need to find the time to implement it. PRs are welcome :)