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bashtage
ARCH models in Python
Hi, I'd like to suggest that the ``forecast`` method of the arch model result be capable of accepting exogenous variables as (horizon, scenario), 2d numpy array. Right now, the solution...
Hi, proffessor. Is there a functon that can make arch model fitted with histroy data do forecasts with new observations? For now, once new observations come, the model must be...
Hi, proffessor. Is there any plan to add Li-Mak test for residual from arch model. I only found this test usable in R [WeightedPortTest](https://github.com/cran/WeightedPortTest), hope you can add it in...
Is it possible to force the p in the GARCH model to be zero for the first conditional volatility lag and then estimate he rest of the parameters for the...
Long-term plan to implement some multivariate GARCH models: First Stage: - [ ] Base classes - [ ] Constant Covariance volatility - [ ] Multivariate Normal distribution - [ ]...
I'm trying to bootstrap the prediction interval for an sklearn style non-parametric estimator (specifically catboost regression). I want the prediction interval for the sum of n predictions (the data has...
I found there is no multivariate garch models in Python. Could you add multivariate support?
### Issue description: [The example](https://arch.readthedocs.io/en/latest/univariate/univariate_volatility_forecasting.html#Parametric-VaR) use the codes: ```diff res = am.fit(disp="off", last_obs="2017-12-31") -forecasts = res.forecast(start="2018-1-1", reindex=False) -cond_mean = forecasts.mean["2018":] -cond_var = forecasts.variance["2018":] q = am.distribution.ppf([0.01, 0.05], res.params[-2:]) -value_at_risk =...
Snyk has created this PR to fix one or more vulnerable packages in the `pip` dependencies of this project. #### Changes included in this PR - Changes to the following...
