I would like to know if there is a package that can do GARCH fitting and simulation in Julia.
Some googling brings up:
Thanks for reply. I am aware of it. It does has a prediction function, but does not have a simulation function.
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.
It hasn’t a predict function: is that what you need?
I found it