This code does parallel VaR and CVaR forecasting with Copula-ARMA-GARCH models, with applications to high-frequency market risk management (HFRisk). It was written for a patent that I worked on with James Glimm during my PhD.

Parallelization of univariate ARMA-GARCH estimation done via MPI. Testing was on an IBM Blue Gene/P.

The configure.sh script will try to install all dependencies in a folder called lib.

The code has been tested with the following:

• FFTW 3.3.2: for computing density functions of CTS and NTS tempered stable and alpha stable distributions.
• Armadillo 3.6.1: for easy linear algebra
• nlopt 2.3: for nonlinear optimization of ARMA-GARCH log-likelihood functions.
• GSL 1.5: for stats and optimization algorithms.
• Boost 1.52.0
• cmake 2.8.9
• gcc 4.7.2
• HDF5 1.8.9

Additionally, you'll need to link to your existing BLAS, LAPACK, and MPI libraries. You can build with:

cd src
make