Java for GARCH(1, 1)

Farhad · June 9th, 2004, 2:14 pm

I am looking for a Java numerical library that has GARCH implemented. Any links anyone?Thank you,Farhad

doofusmaximus · June 11th, 2004, 10:19 am

Farhad,http://www.vni.com/products/imsl/jmsl.htmlyou have to buy it, I dont think there are freeware libaries on this. If you can give me a reference to a detailed worked out example I could help you writeit , Have a lot of Java experience and good math background.df

krishnamruthyu · April 26th, 2006, 4:44 am

Hi, Have you implemented GARCH (1,1) in JAVA. pls let me know how you have done it. I need to implement it in JAVA.Krishna

hli7 · December 11th, 2010, 12:56 pm

not sure if this comes in too late...SuanShu has a GARCH package that does simulation and fitting (same as in R).It is free if you have an academic email.