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s-broda / ARCHModels.jl

A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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work with high frequency data #89

Closed waynelapierre closed 3 years ago

waynelapierre commented 3 years ago

Could I use this package with high-frequency data? Intraday stock prices display complex seasonalities.

s-broda commented 3 years ago

I suppose you could, but you probably shouldn't. Analysis of high frequency data typically relies on other models (e.g., the HAR model).