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Long-term plan to implement some multivariate GARCH models:
First Stage:
- [ ] Base classes
- [ ] Constant Covariance volatility
- [ ] Multivariate Normal distribution
- [ ] Constant Mean
Seco…
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Some planned additions. No specific time for completion.
- [x] Patton-Politis-White Bandwidth Selection for Time-Series Bootstraps
- [x] Engle-Granger Cointegration Testing
- [x] Phillips-Ouliar…
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```r
if(!require(pacman)) install.packages("pacman")
pacman::p_load(
"tidymodels",
"modeltime",
"dplyr",
"lubridate",
"timetk",
"odbc",
"DBI",
"janitor",
"tidyquant",
…
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Hi there,
I'm trying to get this package to replicate the behavior found in rugarch. It allows you to specify an ARMA and GARCH model jointly. Do you have any pointers for how to do that with thi…
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A la
```r
fGarch::garchFit(~arma(1, 0) + garch(1, 0),
data = fGarch::dem2gbp, trace = FALSE)
#>
#> Title:
#> GARCH Modelling
#>
#> Call:
#> fGarch::garchFit(formula = …
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**Is your feature request related to a current problem? Please describe.**
ARCH models and volatility models are very fragmented in the current python ecosystem.
**Describe proposed solution**
a…
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### Description
We've heavily relied on [numba](https://numba.pydata.org/) to speed up our models, however we don't have the need for its JIT compilation, since the code that uses it is defined insid…
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Hello, Sir.
Recently, I have been learning the model of mixed frequency data. I found relevant codes of GARCH-MIDAS model in your GitHub, but I lack the source data file named “CA_reg_data_2021-…
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Where is the fish data set used in the BEKK model?
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### Describe the issue:
New to trying out pymc3
trying this:
### Reproduceable code example:
```python
import pymc as pm
with pm.Model() as model:
# Define the model variables
…