GARCH simulation

New to Julia
1

I would like to know if there is a package that can do GARCH fitting and simulation in Julia.

2

Some googling brings up:

3

Thanks for reply. I am aware of it. It does has a prediction function, but does not have a simulation function.

4

You should be able to just build a quick little wrapper function to take the fitted parameters from GARCH.jl and just calculate them as you would with any other formula.

5

It hasn’t a predict function: is that what you need?

6

I found it

https://github.com/AndreyKolev/GARCH.jl/blob/master/src/GARCH.jl

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