Archmodels.Jl: Estimating Arch Models in Julia

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