Basic implementation of GARCH, fit with MLE
Currently a lot of stability issues when fitting, could may be improved with better initial parameters.
To run tests: RUST_LOG=debug cargo test -- --nocapture
rust implementation of GARCH
Basic implementation of GARCH, fit with MLE
Currently a lot of stability issues when fitting, could may be improved with better initial parameters.
To run tests: RUST_LOG=debug cargo test -- --nocapture
rust implementation of GARCH
MIT License