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GOGARCH #85

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waynelapierre opened this issue Feb 27, 2021 · 2 comments
Open

GOGARCH #85

waynelapierre opened this issue Feb 27, 2021 · 2 comments

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@waynelapierre
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waynelapierre commented Feb 27, 2021 •
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I am using your package with the book Financial Risk Forecasting. The only model in this book unavailable in your package is GOGARCH. It would be great if you could add it to your great package.

https://www.financialriskforecasting.com/code/RJulia3.html
@waynelapierre waynelapierre changed the title OGARCH GOGARCH Mar 4, 2021
@azev77
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azev77 commented Mar 5, 2021

I agree it would be great.
It’s in the feature wishlist:
#60

@s-broda
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s-broda commented Mar 22, 2021

I agree, but am quite time constrained at the moment. If someone wants to tackle this, my preferred estimator would be the one from

Broda, S.A. and Paolella, M.S. (2009). CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation”.
Journal of Financial Econometrics, Vol. 7(5), pp. 412–436. http://dx.doi.org/10.1093/jjfinec/nbp011

The FastICA algorithm that this requires appears to be implemented in https://github.com/JuliaStats/MultivariateStats.jl

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@azev77 @s-broda @waynelapierre