GARCH simulation

question

#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