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Description

ARCH models and more in Python. The package currently includes cod to implement:

Univariate ARCH Models such as ARCH, GARCH, TARCH and EGARCH Unit Root Tests such as Dickey-Fuller and Phillips-Perron Bootstrapping Multiple Comparison Tests including the Reality Check

Repository

https://github.com/bashtage/arch

Last Built

2 months, 4 weeks ago passed

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Home Page

https://github.com/bashtage/arch

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Tags

bootstrap, SPA, ARCH, EGARCH, GARCH, unit root testing, Reality Check, econometrics, finance, volatility, multiple comparison procedures, time series

Project Privacy Level

Public

Short URLs

arch.readthedocs.io
arch.rtfd.io

Default Version

latest

'latest' Version

master