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ChadFulton / statsmodels

Statsmodels: statistical modeling and econometrics in Python
http://statsmodels.sourceforge.net/devel/
BSD 3-Clause "New" or "Revised" License
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Can sm.tsa.MarkovAutoregression do on GARCH model? #7

Open lawofearth opened 6 years ago

lawofearth commented 6 years ago

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, switching_ar=True)

But I think it miss MA term.

Thanks!

ChadFulton commented 6 years ago

Unfortunately we don't yet have an ARMA specification for Markov switching models. We also don't have a GARCH model in Statsmodels, but you might be interested in the http://github.com/bashtage/arch package.

lawofearth commented 6 years ago

Thanks! I have found this package, it contain only GARCH but not MS.