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ARCHModels

A Julia package for estimating ARMA-GARCH models.

https://github.com/s-broda/archmodels.jl

Science Score: 77.0%

This score indicates how likely this project is to be science-related based on various indicators:

  • ✓
    CITATION.cff file
    Found CITATION.cff file
  • ✓
    codemeta.json file
    Found codemeta.json file
  • ✓
    .zenodo.json file
    Found .zenodo.json file
  • ✓
    DOI references
    Found 2 DOI reference(s) in README
  • ✓
    Academic publication links
    Links to: zenodo.org
  • ✓
    Committers with academic emails
    3 of 9 committers (33.3%) from academic institutions
  • ○
    Institutional organization owner
  • ○
    JOSS paper metadata
  • ○
    Scientific vocabulary similarity
    Low similarity (12.5%) to scientific vocabulary

Keywords

arch econometrics finance garch julia julia-language regression statistical-models statistics timeseries volatility
Last synced: 4 months ago · JSON representation ·

Repository

A Julia package for estimating ARMA-GARCH models.

Basic Info
Statistics
  • Stars: 96
  • Watchers: 6
  • Forks: 19
  • Open Issues: 14
  • Releases: 42
Topics
arch econometrics finance garch julia julia-language regression statistical-models statistics timeseries volatility
Created over 8 years ago · Last pushed 5 months ago
Metadata Files
Readme License Citation

README.md

version Docs (stable) Docs (dev) Build status (Linux, MacOS, Windows) codecov pkgeval DOI

The ARCHModels Package for Julia

ARCH (Autoregressive Conditional Heteroskedasticity) models are a class of models designed to capture a feature of financial returns data known as volatility clustering, i.e., the fact that large (in absolute value) returns tend to cluster together, such as during periods of financial turmoil, which then alternate with relatively calmer periods. This package provides efficient routines for simulating, estimating, and testing a variety of GARCH models.

Installation

ARCHModels is a registered Julia package. To install it in Julia 1.0 or later, do

add ARCHModels

in the Pkg REPL mode (which is entered by pressing ] at the prompt).

Documentation

The extensive documentation is available here.

Citation

If you use this package in your research, please consider citing our paper.

Acknowledgements

This project has received funding from the European Union’s Horizon 2020 research and innovation programme under the Marie Skłodowska-Curie grant agreement No 750559.

Owner

  • Name: Simon Broda
  • Login: s-broda
  • Kind: user
  • Location: Zurich (CH)

Citation (CITATION.bib) 

@article{bp:23,
    author = {Simon A.~Broda and Marc S.~Paolella},
    title = {{ARCHModels.jl}: Estimating {ARCH} Models in {Julia}},
    journal = {Journal of Statistical Software},
    volume = {107},
    number = {4},
    pages = {1--25},
    year = {2023},
    doi = {10.18637/jss.v107.i05},
}

GitHub Events

Total
  • Create event: 9
  • Commit comment event: 5
  • Issues event: 2
  • Release event: 3
  • Watch event: 5
  • Delete event: 3
  • Issue comment event: 9
  • Push event: 29
  • Pull request event: 8
Last Year
  • Create event: 9
  • Commit comment event: 5
  • Issues event: 2
  • Release event: 3
  • Watch event: 5
  • Delete event: 3
  • Issue comment event: 9
  • Push event: 29
  • Pull request event: 8

Committers

Last synced: almost 3 years ago

All Time
  • Total Commits: 644
  • Total Committers: 9
  • Avg Commits per committer: 71.556
  • Development Distribution Score (DDS): 0.262
Top Committers
Name Email Commits
Simon Broda s****a@u****h 475
Simon Broda s****a@u****l 152
Sebastian Rollen s****b@o****e 4
s-broda s****a@a****h 3
github-actions[bot] 4****]@u****m 3
azev77 a****7@u****m 3
Charis P. Michelakis c****s@g****m 2
Simon Broda b****a@e****h 1
Soderlind P****d@u****h 1
Committer Domains (Top 20 + Academic)
unisg.ch: 1 eduroam-hg-dock-1-2-187.ethz.ch: 1 alumni.ethz.ch: 1 overmu.se: 1 uva.nl: 1 uzh.ch: 1

Issues and Pull Requests

Last synced: 4 months ago

All Time
  • Total issues: 32
  • Total pull requests: 86
  • Average time to close issues: about 1 month
  • Average time to close pull requests: about 1 month
  • Total issue authors: 18
  • Total pull request authors: 9
  • Average comments per issue: 3.06
  • Average comments per pull request: 0.62
  • Merged pull requests: 41
  • Bot issues: 0
  • Bot pull requests: 47
Past Year
  • Issues: 2
  • Pull requests: 10
  • Average time to close issues: N/A
  • Average time to close pull requests: 1 day
  • Issue authors: 1
  • Pull request authors: 2
  • Average comments per issue: 0.0
  • Average comments per pull request: 0.0
  • Merged pull requests: 9
  • Bot issues: 0
  • Bot pull requests: 10
View more stats
Top Authors
Issue Authors
  • azev77 (6)
  • waynelapierre (4)
  • tbeason (3)
  • s-broda (2)
  • nilshg (2)
  • chm-von-tla (2)
  • al6x (2)
  • luboshanus (1)
  • rfourquet (1)
  • ancapdev (1)
  • PaulSoderlind (1)
  • alandreed (1)
  • SebRollen (1)
  • pkofod (1)
  • KuiPN (1)
Pull Request Authors
  • github-actions[bot] (40)
  • s-broda (31)
  • dependabot[bot] (7)
  • chm-von-tla (2)
  • azev77 (2)
  • PaulSoderlind (1)
  • timholy (1)
  • SebRollen (1)
  • JuliaTagBot (1)
Top Labels
Issue Labels
Pull Request Labels
dependencies (7) github_actions (7)

Packages

  • Total packages: 1
  • Total downloads:
    • julia 117 total
  • Total dependent packages: 1
  • Total dependent repositories: 0
  • Total versions: 42
juliahub.com: ARCHModels

A Julia package for estimating ARMA-GARCH models.

  • Versions: 42
  • Dependent Packages: 1
  • Dependent Repositories: 0
  • Downloads: 117 Total
Rankings
Stargazers count: 9.1%
Forks count: 9.3%
Dependent repos count: 9.9%
Average: 12.8%
Dependent packages count: 23.0%
Last synced: 5 months ago

Dependencies

.github/workflows/ci.yml actions
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  • julia-actions/julia-runtest v1 composite
  • julia-actions/setup-julia v1 composite
.github/workflows/ci_nightly.yml actions
  • actions/cache v1 composite
  • actions/checkout v2 composite
  • julia-actions/julia-buildpkg v1 composite
  • julia-actions/julia-runtest v1 composite
  • julia-actions/setup-julia v1 composite
.github/workflows/tagbot.yml actions
  • JuliaRegistries/TagBot v1 composite
  • actions/checkout v1 composite