Archmodels.Jl: Estimating Arch Models in Julia

18 Pages Posted: 6 Aug 2020

See all articles by Simon A. Broda

Simon A. Broda

University of Zurich - Department of Banking and Finance

Marc S. Paolella

University of Zurich - Department of Banking and Finance; Swiss Finance Institute

Date Written: March 9, 2020

Abstract

This paper introduces ARCHModels.jl, a package for the Julia programming language that implements a number of univariate and multivariate ARCH-type models. This model class is the workhorse tool for modelling the conditional volatility of financial assets. Their distinguishing feature is that they model the latent volatility as a (deterministic) function of past returns and volatilities. This recursive structure results in loop-heavy code which, due to its just-in-time compiler, Julia is well-equipped to handle. As such, the entire package is written in Julia, without any binary dependencies. We benchmark the performance of ARCHModels.jl against popular implementations in MATLAB, R, and Python, and illustrate its use in a detailed case study.

Keywords: ARCH, GARCH, CCC, DCC, Value at Risk, Julia

JEL Classification: C87

Suggested Citation

Broda, Simon A. and Paolella, Marc S., Archmodels.Jl: Estimating Arch Models in Julia (March 9, 2020). Available at SSRN: https://ssrn.com/abstract=3551503 or http://dx.doi.org/10.2139/ssrn.3551503

Simon A. Broda (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Plattenstr 32
Zurich, 8032
Switzerland

Marc S. Paolella

University of Zurich - Department of Banking and Finance

Plattenstr. 14
Z├╝rich, 8032
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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