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unit8co / darts

A python library for user-friendly forecasting and anomaly detection on time series.
https://unit8co.github.io/darts/
Apache License 2.0
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ARCH models #1958

Open elvinwangyh opened 1 year ago

elvinwangyh commented 1 year ago

Is your feature request related to a current problem? Please describe. ARCH models and volatility models are very fragmented in the current python ecosystem.

Describe proposed solution a compilation of uni and multivariate arch class volatility models would be desirable.

madtoinou commented 1 year ago

Hi @elvinwangyh,

Thank you for your suggestion. Would you mind sharing some resources about the ARCH/volatility models so that all the contributors cane easily read about them?

elvinwangyh commented 1 year ago

Hi @madtoinou

Sure here are some links that you may find helpful,

volatility models

ARCH python univariate garch lib DCC_Garch python

rugarch R package for univariate garch rmgarch R package for multivariate garch