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Multivariate ARCH Tracking

Open bashtage opened this issue 5 years ago • 1 comments

Long-term plan to implement some multivariate GARCH models:

First Stage:

  • [ ] Base classes
  • [ ] Constant Covariance volatility
  • [ ] Multivariate Normal distribution
  • [ ] Constant Mean Second Stage:
  • [ ] VAR-X mean model
  • [ ] VAR, LR, Constant Mean refactor, ZeroMean as special cases of VAR-X Third Stage:
  • [ ] Scalar BEKK with 1-step estimation
  • [ ] Scalar BEKK with 2-step estimation
  • [ ] Scalar BEKK with 3-step estimation (targetting)
  • [ ] Scalar BEKK with composite estimation (1, 2 and 3 step) Fourth Stage:
  • [ ] Multivariate Student's t distribution Fifth Stage:
  • [ ] Other BEKK and Matrix GARCH models
  • [ ] DCC (1-step and 2-step, full and composite) and cDCC (1-, 2- and 3-step, full and composite)
  • [ ] Other GARCH models (OGARCH, GO-GARCH??)

bashtage avatar Oct 08 '18 11:10 bashtage

xref #201

bashtage avatar Oct 08 '18 11:10 bashtage