Re: [julia-users] Re: I cannot fine the code for Garch in mean
Might be a good starting point: https://github.com/AndreyKolev/GARCH.jl On Tue, Jan 27, 2015 at 5:41 PM, colintbow...@gmail.com wrote: Hi Jase, Good to see you on Julia. Regarding GarchM, I'm fairly certain this doesn't exist yet. As Andreas has said, there isn't much time-series econometrics on Julia yet at all. I'm planning on adding some capabilities over the next few months, e.g. dependent bootstraps and hopefully some ARIMA functions, but in general it will probably be a fairly slow process. For now, if you're after pre-packaged conditional volatility models, you will still probably need R or Kevin Sheppard's Matlab toolbox. If you want to work in Julia, you can call R functions using the following package: https://github.com/lgautier/Rif.jl Perhaps this is an option? Cheers mate, Colin On Tuesday, 27 January 2015 16:17:01 UTC+11, Jung Soo Park wrote: Is there any way I can have the code for Garch in Mean or GarchM please Thank you..
Re: [julia-users] Re: I cannot fine the code for Garch in mean
Hi Jase, You probably already know this, but just in case: Julia has several different options as far as optimization packages are concerned. The Optim package is probably the most popular of those that are implemented purely in Julia. But the NLopt library (implemented in C) is also a popular choice and there is a Julia package (called NLopt) designed to interface with this library. For example, the Julia GARCH package (which, to my knowledge, only covers the basic uni-variate one-step-ahead GARCH model for now) mentioned earlier by @tshort uses NLopt for optimization, rather than Optim, so if you were planning on extending the functionality of that package, NLopt might be a good starting point. (also Chris is a big fan of NLopt, so you should be able to get some pointers from him in using it :-) Cheers mate, Colin On Wednesday, 28 January 2015 16:48:55 UTC+11, Jung Soo Park wrote: Yes, I am studying the package with optimization packages Thanks you On Wednesday, January 28, 2015 at 10:16:18 AM UTC+11, tshort wrote: Might be a good starting point: https://github.com/AndreyKolev/GARCH.jl On Tue, Jan 27, 2015 at 5:41 PM, colint...@gmail.com wrote: Hi Jase, Good to see you on Julia. Regarding GarchM, I'm fairly certain this doesn't exist yet. As Andreas has said, there isn't much time-series econometrics on Julia yet at all. I'm planning on adding some capabilities over the next few months, e.g. dependent bootstraps and hopefully some ARIMA functions, but in general it will probably be a fairly slow process. For now, if you're after pre-packaged conditional volatility models, you will still probably need R or Kevin Sheppard's Matlab toolbox. If you want to work in Julia, you can call R functions using the following package: https://github.com/lgautier/Rif.jl Perhaps this is an option? Cheers mate, Colin On Tuesday, 27 January 2015 16:17:01 UTC+11, Jung Soo Park wrote: Is there any way I can have the code for Garch in Mean or GarchM please Thank you..
[julia-users] Re: I cannot fine the code for Garch in mean
Dear Colin, I am both familiar with R and Matlab garch in mean functions you mentioned. Now I am porting some of Matlab code into Julia as a practice but to porting garchM into Julia may takes long because I am new to the Julia's optimization package. This is why I asked this question... So far, I have found Julia really has something and this is why I am moving into it day by day. Cheers, Jase On Wednesday, January 28, 2015 at 9:41:25 AM UTC+11, colint...@gmail.com wrote: Hi Jase, Good to see you on Julia. Regarding GarchM, I'm fairly certain this doesn't exist yet. As Andreas has said, there isn't much time-series econometrics on Julia yet at all. I'm planning on adding some capabilities over the next few months, e.g. dependent bootstraps and hopefully some ARIMA functions, but in general it will probably be a fairly slow process. For now, if you're after pre-packaged conditional volatility models, you will still probably need R or Kevin Sheppard's Matlab toolbox. If you want to work in Julia, you can call R functions using the following package: https://github.com/lgautier/Rif.jl Perhaps this is an option? Cheers mate, Colin On Tuesday, 27 January 2015 16:17:01 UTC+11, Jung Soo Park wrote: Is there any way I can have the code for Garch in Mean or GarchM please Thank you..
Re: [julia-users] Re: I cannot fine the code for Garch in mean
Yes, I am studying the package with optimization packages Thanks you On Wednesday, January 28, 2015 at 10:16:18 AM UTC+11, tshort wrote: Might be a good starting point: https://github.com/AndreyKolev/GARCH.jl On Tue, Jan 27, 2015 at 5:41 PM, colint...@gmail.com javascript: wrote: Hi Jase, Good to see you on Julia. Regarding GarchM, I'm fairly certain this doesn't exist yet. As Andreas has said, there isn't much time-series econometrics on Julia yet at all. I'm planning on adding some capabilities over the next few months, e.g. dependent bootstraps and hopefully some ARIMA functions, but in general it will probably be a fairly slow process. For now, if you're after pre-packaged conditional volatility models, you will still probably need R or Kevin Sheppard's Matlab toolbox. If you want to work in Julia, you can call R functions using the following package: https://github.com/lgautier/Rif.jl Perhaps this is an option? Cheers mate, Colin On Tuesday, 27 January 2015 16:17:01 UTC+11, Jung Soo Park wrote: Is there any way I can have the code for Garch in Mean or GarchM please Thank you..
