Not sure. The performance should scale more or less linearly with the size of the data set, so I’m not sure how much difference it would make. If anything, it would probably favor ARCHModels.jl even more.
Another idea might be to show a backtesting exercise. That’s what I did in a seminar I gave a while ago, see here: Jupyter Notebook Viewer It shows ARCHModels.jl estimating 7334 GARCH models in 20 seconds 
Granted, the window size is just 1000, but that’s pretty standard in backtesting.
@Albert_Zevelev Tangential: I currently have two students working on new models, so there should be some nice updates soon 