Open elvinwangyh opened 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?
Hi @madtoinou
Sure here are some links that you may find helpful,
ARCH python univariate garch lib DCC_Garch python
rugarch R package for univariate garch rmgarch R package for multivariate garch
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.