# GARCH simulation

**URL:** <https://discourse.julialang.org/t/garch-simulation/9638>\
**Category:** New to Julia\
**Tags:** question\
**Created:** [March 11, 2018, 3:21am UTC](https://discourse.julialang.org/t/garch-simulation/9638 "2018-03-11T03:21:21Z")\
**Posts on this page:** 6\
**Page:** 1

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**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:** [March 11, 2018, 3:21am UTC](https://discourse.julialang.org/t/garch-simulation/9638/1 "2018-03-11T03:21:21Z")

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

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**Author:** ![simonbyrne](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/simonbyrne/32/19_2.png) [@simonbyrne](https://discourse.julialang.org/u/simonbyrne)\
**Post date:** [March 11, 2018, 3:35am UTC](https://discourse.julialang.org/t/garch-simulation/9638/2 "2018-03-11T03:35:23Z")

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Some googling brings up:

- [https://github.com/AndreyKolev/GARCH.jl](https://github.com/AndreyKolev/GARCH.jl)
- [https://github.com/JuliaStats/TimeModels.jl](https://github.com/JuliaStats/TimeModels.jl)

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**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:** [March 11, 2018, 3:40am UTC](https://discourse.julialang.org/t/garch-simulation/9638/3 "2018-03-11T03:40:12Z")

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

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**Author:** ![cpfiffer](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/cpfiffer/32/208747_2.png) [@cpfiffer](https://discourse.julialang.org/u/cpfiffer)\
**Post date:** [March 11, 2018, 4:49am UTC](https://discourse.julialang.org/t/garch-simulation/9638/4 "2018-03-11T04:49:34Z")

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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.

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**Author:** ![simonbyrne](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/simonbyrne/32/19_2.png) [@simonbyrne](https://discourse.julialang.org/u/simonbyrne)\
**Post date:** [March 11, 2018, 5:33am UTC](https://discourse.julialang.org/t/garch-simulation/9638/5 "2018-03-11T05:33:19Z")

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

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**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:** [March 11, 2018, 5:40am UTC](https://discourse.julialang.org/t/garch-simulation/9638/6 "2018-03-11T05:40:51Z")

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I found it

[https://github.com/AndreyKolev/GARCH.jl/blob/master/src/GARCH.jl](https://github.com/AndreyKolev/GARCH.jl/blob/master/src/GARCH.jl)