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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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**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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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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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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## Summary
It would be cool to be able to model `sigma` as a garch process.
## Description
After closing #708, brms can support autocor processes in the formula syntax ala
```stan
fit
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Is it possible to force the p in the GARCH model to be zero for the first conditional volatility lag and then estimate he rest of the parameters for the rest of the lags?
i.e I wanna be able to fi…
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Hello, I found your tools can do Makov switching on AR processes but if it able to do on GARCH?
I use this code
`mod_hamilton = sm.tsa.MarkovAutoregression(GLD_ddate, k_regimes=2, order=1, switc…
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- [ ] Garch and it's simpler variants like (GJR-Garch, APARCH, AGARCH, EGARCH) [etc](https://vlab.stern.nyu.edu/docs/volatility)
- [ ] [Fractional differencing models](https://discourse.mc-stan.org/t…
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Is it OK if U put volatility in garch model?
`am = arch_model(vol, vol='Garch', p=1, o=1, q=1, dist='Normal')`