ARMA-GARCH support? - Githubissues

RJT1990 / pyflux

Open source time series library for Python

BSD 3-Clause "New" or "Revised" License

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ARMA-GARCH support? #69

Open angrygoats opened 7 years ago

angrygoats commented 7 years ago

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 python that support ARMA-GARCH. It would be really cool if this library ended up supporting them. Especially since the models really need to be specified at the same time.

RJT1990 commented 7 years ago

This would be nice, but I don't personally plan to add this model type anytime soon. If you (or anyone else) fancy coding it up, then you could use the GARCH and ARMA classes as a starting point.