# \[ANN\] ARCHModels.jl

**URL:** <https://discourse.julialang.org/t/ann-archmodels-jl/21348>\
**Category:** Package Announcements\
**Created:** [March 1, 2019, 2:50pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348 "2019-03-01T14:50:37Z")\
**Posts on this page:** 10\
**Page:** 1

<div class="post-metadata">

**Author:** ![s-broda](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/s-broda/32/3946_2.png) [@s-broda](https://discourse.julialang.org/u/s-broda)\
**Post date:** [March 1, 2019, 2:50pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/1 "2019-03-01T14:50:37Z")

</div>

I am happy to announce that [ARCHModels.jl](https://github.com/s-broda/ARCHModels.jl) just had its v0.1.0 release. ARCH (Autoregressive Conditional Volatility) models are the workhorse tools for modelling daily volatility in financial time series data. ARCHModels.jl implements simulation, estimation, forecasting, and testing for a variety of models from this class.

Feedback is welcome!

---

<div class="post-metadata">

**Author:** ![Qing\_Xu](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/qing_xu/32/11742_2.png) [@Qing\_Xu](https://discourse.julialang.org/u/Qing_Xu)\
**Post date:** [December 7, 2019, 10:03pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/2 "2019-12-07T22:03:26Z")

</div>

Hi Simon,

When I run the following codes based on your instruction, Julia always shows me a warning below:  
julia\> using ARCHModels  
julia\> spec = GARCH{1, 1}([1., .9, .05]);  
julia\> data = BG96;  
julia\> am = UnivariateARCHModel(spec, data; dist=StdT(3.), meanspec=Intercept(1.))  
julia\> fit!(am)

ERROR: StackOverflowError:

Could you please let me know the reason? Thanks.

---

<div class="post-metadata">

**Author:** ![Yifan\_Liu](https://avatars.discourse-cdn.com/v4/letter/y/4da419/32.png) [@Yifan\_Liu](https://discourse.julialang.org/u/Yifan_Liu)\
**Post date:** [December 7, 2019, 10:57pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/3 "2019-12-07T22:57:53Z")

</div>

I cannot replicate your error with ARCHModels 0.5.3 on Julia 1.2.

---

<div class="post-metadata">

**Author:** ![Qing\_Xu](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/qing_xu/32/11742_2.png) [@Qing\_Xu](https://discourse.julialang.org/u/Qing_Xu)\
**Post date:** [December 7, 2019, 11:25pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/4 "2019-12-07T23:25:21Z")

</div>

Hi Yifan,

Thanks for your response. The current version of ARCHModels is 0.5.1, isn’t it? Is there a way to get version 0.5.3?

---

<div class="post-metadata">

**Author:** ![Qing\_Xu](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/qing_xu/32/11742_2.png) [@Qing\_Xu](https://discourse.julialang.org/u/Qing_Xu)\
**Post date:** [December 7, 2019, 11:30pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/5 "2019-12-07T23:30:36Z")

</div>

The information shown by Julia is as follow when I install the package ARCHModels:  
julia\> Pkg.add(“ARCHModels”)  
Resolving package versions…  
Updating `C:\Users\qingx\.julia\environments\v1.2\Project.toml`  
[6d3278bc] + ARCHModels v0.5.1  
Updating `C:\Users\qingx\.julia\environments\v1.2\Manifest.toml`  
[6d3278bc] + ARCHModels v0.5.1  
[861a8166] + Combinatorics v0.7.0  
[09f84164] + HypothesisTests v0.8.0  
[f2b01f46] + Roots v0.8.4

I have tried to install the package with specific version but it still doesn’t work:

julia\> Pkg.add(Pkg.PackageSpec(name=“ARCHModels”, version=“0.5.3”))  
Resolving package versions…  
ERROR: Unsatisfiable requirements detected for package SpecialFunctions [276daf66]:  
SpecialFunctions [276daf66] log:  
├─possible versions are: [0.7.0-0.7.2, 0.8.0, 0.9.0] or uninstalled  
├─restricted by compatibility requirements with TensorFlow [1d978283] to versions: [0.7.0-0.7.2, 0.8.0, 0.9.0]  
│ └─TensorFlow [1d978283] log:  
│ ├─possible versions are: [0.10.2, 0.10.4, 0.11.0] or uninstalled  
│ └─restricted to versions 0.11.0 by an explicit requirement, leaving only versions 0.11.0  
├─restricted by julia compatibility requirements to versions: [0.7.0-0.7.2, 0.8.0] or uninstalled, leaving only versions: [0.7.0-0.7.2, 0.8.0]  
├─restricted by compatibility requirements with Distributions [31c24e10] to versions: 0.8.0  
│ └─Distributions [31c24e10] log:  
│ ├─possible versions are: [0.16.0-0.16.4, 0.17.0, 0.18.0, 0.19.1-0.19.2, 0.20.0, 0.21.0-0.21.3, 0.21.5-0.21.11] or uninstalled  
│ └─restricted to versions 0.21.8 by an explicit requirement, leaving only versions 0.21.8  
└─restricted by compatibility requirements with ARCHModels [6d3278bc] to versions: 0.7.2 — no  
versions left  
└─ARCHModels [6d3278bc] log:  
├─possible versions are: [0.1.0, 0.2.0, 0.3.0, 0.4.0, 0.5.0-0.5.3] or uninstalled  
└─restricted to versions 0.5.3 by an explicit requirement, leaving only versions 0.5.3

---

<div class="post-metadata">

**Author:** ![s-broda](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/s-broda/32/3946_2.png) [@s-broda](https://discourse.julialang.org/u/s-broda)\
**Post date:** [December 8, 2019, 4:18pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/6 "2019-12-08T16:18:28Z")

</div>

Hi @Qing_Xu

I’ve just tagged a new release (v0.6.0). Could you please try if it fixes your issue?

What happened is the following: you have a version of Distributions installed (0.21.8) that requires SpecialFunctions at version 0.8. ARCHModels 0.5.3 however requires version 0.7.2 (because of this issue: [https://github.com/JuliaMath/SpecialFunctions.jl/issues/186](https://github.com/JuliaMath/SpecialFunctions.jl/issues/186)). That’s why you were unable to install version 0.5.3, and the resolver fell back to ARCHModels 0.5.1. The latter should _also_ require SpecialFunctions to be at 0.7.2, but didn’t explicitly say so. In version 0.6 of ARCHModels, I’ve now worked around the bug in SpecialFunctions 0.8/0.9, allowing me to relax the version bounds on it. This means that you should now be able to install 0.6, and it should work without issues (note that 0.5.1, which you currently have, should also work for the most part, except anything that relies on the t distribution).

Let me know how it goes!  
Cheers  
Simon

---

<div class="post-metadata">

**Author:** ![Yifan\_Liu](https://avatars.discourse-cdn.com/v4/letter/y/4da419/32.png) [@Yifan\_Liu](https://discourse.julialang.org/u/Yifan_Liu)\
**Post date:** [December 8, 2019, 7:57pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/7 "2019-12-08T19:57:38Z")

</div>

Is it possible to export the results of your package to latex tables?

---

<div class="post-metadata">

**Author:** ![Qing\_Xu](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/qing_xu/32/11742_2.png) [@Qing\_Xu](https://discourse.julialang.org/u/Qing_Xu)\
**Post date:** [December 9, 2019, 4:10am UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/8 "2019-12-09T04:10:35Z")

</div>

Hi @s-broda

It goes well now with version 0.6.0. Thanks a lot!

Best regards,

Qing

---

<div class="post-metadata">

**Author:** ![s-broda](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/s-broda/32/3946_2.png) [@s-broda](https://discourse.julialang.org/u/s-broda)\
**Post date:** [December 9, 2019, 12:41pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/9 "2019-12-09T12:41:13Z")

</div>

Happy to hear that Qing!  
Cheers  
Simon

---

<div class="post-metadata">

**Author:** ![s-broda](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/s-broda/32/3946_2.png) [@s-broda](https://discourse.julialang.org/u/s-broda)\
**Post date:** [December 9, 2019, 12:42pm UTC](https://discourse.julialang.org/t/ann-archmodels-jl/21348/10 "2019-12-09T12:42:26Z")

</div>

@Yifan_Liu I’m afraid no. I saw however that PrettyTables.jl just gained a LaTeX backend, maybe that could be of help to you: [[ANN] PrettyTables.jl now has LaTeX backend - #2 by venuur](https://discourse.julialang.org/t/ann-prettytables-jl-now-has-latex-backend/31990/2)

Cheers  
Simon