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.. >>>> >>>> >>
