ARCHModels。[j]: Julia中ARCH模型的估计

IF 5.4 2区计算机科学 Q1 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS

Journal of Statistical Software Pub Date : 2023-01-01 DOI:10.18637/jss.v107.i05

Simon A. Broda, Marc S. Paolella

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引用次数: 0

摘要

本文介绍了ARCHModels。jl，一个用于Julia编程语言的包，实现了许多单变量和多变量自回归条件异方差模型。这个模型类是对金融资产的条件波动进行建模的主要工具。这些模型的显著特征是，它们将潜在波动率建模为过去收益和波动率的(确定性)函数。这种递归结构会导致循环繁重的代码，由于Julia的即时编译器，它可以很好地处理这些代码。因此，整个包是用Julia编写的，没有任何二进制依赖项。我们对ARCHModels的性能进行基准测试。在MATLAB, R和Python中比较流行的实现，并在详细的案例研究中说明其使用。

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ARCHModels.jl: Estimating ARCH Models in Julia

This paper introduces ARCHModels.jl, a package for the Julia programming language that implements a number of univariate and multivariate autoregressive conditional heteroskedasticity models. This model class is the workhorse tool for modeling the conditional volatility of financial assets. The distinguishing feature of these models 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.

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来源期刊

Journal of Statistical Software 工程技术-计算机：跨学科应用

CiteScore

10.70

自引率

1.70%

发文量

审稿时长

6-12 weeks

期刊介绍： The Journal of Statistical Software (JSS) publishes open-source software and corresponding reproducible articles discussing all aspects of the design, implementation, documentation, application, evaluation, comparison, maintainance and distribution of software dedicated to improvement of state-of-the-art in statistical computing in all areas of empirical research. Open-source code and articles are jointly reviewed and published in this journal and should be accessible to a broad community of practitioners, teachers, and researchers in the field of statistics.