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, [email protected]
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..
>>
>>
