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s-broda / ARCHModels.jl

A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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GOGARCH #85

Open waynelapierre opened 3 years ago

waynelapierre commented 3 years ago

I am using your package with the book Financial Risk Forecasting. The only model in this book unavailable in your package is GOGARCH. It would be great if you could add it to your great package.

https://www.financialriskforecasting.com/code/RJulia3.html

azev77 commented 3 years ago

I agree it would be great. It’s in the feature wishlist: https://github.com/s-broda/ARCHModels.jl/issues/60

s-broda commented 3 years ago

I agree, but am quite time constrained at the moment. If someone wants to tackle this, my preferred estimator would be the one from

Broda, S.A. and Paolella, M.S. (2009). CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation”. Journal of Financial Econometrics, Vol. 7(5), pp. 412–436. http://dx.doi.org/10.1093/jjfinec/nbp011

The FastICA algorithm that this requires appears to be implemented in https://github.com/JuliaStats/MultivariateStats.jl