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Hello,
Thanks for putting the code to the excellent book up in Github. I notice a very small error in the code - I don't know if it is local of whether the error is common to all of the AR model code…
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see if this should/could be implemented.
[GARCH modelling | Investopedia](https://www.investopedia.com/terms/g/generalalizedautogregressiveconditionalheteroskedasticity.asp)
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Hi, thanks for contributing the dcc-garch code. I found the problem already raised by other that when trying to impliment your code, applying the dcc-garch would only result in your initial values. I …
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How much of a pain would it be to try to implement Realized GARCH models, or should that go in a different package? My gut feelings suggest that they are *just* different enough that it would be a pai…
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While I'm here and looking over the code, another thing that would be useful is the addition of a `MeanSpec` which includes the variance (or volatility or log volatility -- I'm not sure which is the m…
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Hello,
I'm struggling to figure out how to properly use this package to fit a GARCH(1,1) model with an exogenous variable. [Here's](https://gist.github.com/KenRoytman/2fcd6af572c4281e2d03c74479407…
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![benfords](https://user-images.githubusercontent.com/29491896/89736832-b2d75100-da6c-11ea-95c4-4b88d5c3261d.png)
![benfords](https://user-images.githubusercontent.com/29491896/89736834-b5d24180-da6c…
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**GARCH** describes an approach to estimate [volatility](https://www.investopedia.com/terms/v/volatility.asp) in financial markets.
https://www.investopedia.com/terms/g/generalalizedautogregressivecon…
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Rachel, could you please also add the GARCH model to the environment as a function and run the t-tests on the resulting time series?
Follows example implementation:
https://colab.research.google.c…
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Hey, great library. Just curious if you are planning on supporting ARMA-GARCH models similar to the `rugarch` package in R?
It seems there are no good out-of-the-box statistics libraries for pytho…