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Published April 29, 2021 | Version v1.4.1
Software Open

s-broda/ARCHModels.jl: v1.4.1

Creators

  • 1. Overmuse
  • 2. Zicklin School of Business, Baruch College

Description

ARCHModels v1.4.1

Diff since v1.4.0

Closed issues:

  • Addition of skewed distributions for the innovation terms (#87)
  • work with high frequency data (#89)

Merged pull requests:

  • commit Bollerslev and Ghysels(JBES 1996) dataset to repo instead of downloading (#90) (@chm-von-tla)

Files

s-broda/ARCHModels.jl-v1.4.1.zip

Files (847.7 kB)

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Additional details

Related works

Is supplement to
https://github.com/s-broda/ARCHModels.jl/tree/v1.4.1 (URL)