ROADMAP: Future plans - Githubissues

bashtage / arch

ARCH models in Python

Other

1.33k stars 247 forks source link

ROADMAP: Future plans #351

Open bashtage opened 4 years ago

bashtage commented 4 years ago

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-Ouliaris Cointegration Testing
[x] Dynamic OLS Cointegration Vector Estimation
[x] FM OLS Cointegration Vector Estimation
[x] CCR Cointegration Vector Estimation
[x] Reduced memory in simulation-forecasting
[ ] GARCH-X and EGARCH-X
[ ] VAR-HAC
[ ] Pre-whitened Recolored Long-run covariance estimation
[ ] Univariate MA Mean Model
[ ] Generalized lag GARCH models (e.g., lag 2 but not 1)
[ ] General support for variance targetted estimation
[ ] Multivariate GARCH

itsNH98 commented 1 year ago

Available to work on the Multivariate GARCH if it is still on the Roadmap

elvinwangyh commented 1 year ago

There is an implementation for DCC-GARCH in Python, perhaps you can join the effort https://github.com/Topaceminem/DCC-GARCH .