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ARCH, GARCH and VAR Models in Time series

Our existing Time series platform stops at ARIMA. Academic Institutions teach ARCH, GARCH and VAR models as part of Financial Analytics. Our competitors (including Excel) have already incorporated this feature

Is this an external customer request? 

 

 

Is there a competitive software package that has this feature or solution that we should be aware of? 

Stata, SPSS (Command version), EViews, Python, R

Statistics and AnalyticsRe: ARCH, GARCH and VAR Models in Time series

@Chandramouli_R  and @Muralidhara, following-up on this request. The status is "Not planned for now" largely due to availability in SAS, and the perception that applications are largely in the financial sector (outside our core markets) or in educational settings. One suggestion is that an add-in linking to SAS or R is a possible solution. Adding @Peter_Hersh in case he has thoughts.

This wish list request is open to kudos and further consideration. However, additional information would be needed to help make the case for adding this functionality. For example, specific (commercial) customers requesting, potential impact on a renewal, expansion, or adoption at a customer, does the lack of this functionality put an account at risk,...

Thanks,

Mia

 

Re: ARCH, GARCH and VAR Models in Time series

@Muralidhara Matlab + Econometrics toolbox, Mathematica, LIMDEP, GUASS, Gretl, Finamark,  SCAWorkbench, SPlus, Sagemath, RATS 

Re: ARCH, GARCH and VAR Models in Time series - Status changed to: Not Planned For Now

@Muralidhara We appreciate you submitting this request, however we do not plan to include this in a future release at this point.  Look at the Jira for more information.  

Re: ARCH, GARCH and VAR Models in Time series - Status changed to: Acknowledged

@Muralidhara - Thank you for your suggestion! We have captured your request and will take it under consideration.