arch 1.0

ARCH for Python

ARCH

This is a work-in-progress for ARCH and related models, written in Python (and Cython)

What is this repository for?

• Mean models

• Constant mean

• Heterogeneous Autoregression (HAR)

• Autoregression (AR)

• Zero mean

• Models with and without exogensou regressors

• Volatility models

• ARCH

• GARCH

• TARCH

• EGARCH

• EWMA/RiskMetrics

• Distributions

• Normal

• Student’s T

Examples

See the example notebook for a more complete overview.

import datetime as dt
import pandas.io.data as web
st = dt.datetime(1990,1,1)
en = dt.datetime(2014,1,1)
data = web.get_data_yahoo('^FTSE', start=st, end=en)
returns = 100 * data['Adj Close'].pct_change().dropna()

from arch import arch_model
am = arch_model(returns)
res = am.fit()

Documentation

Documentation is hosted on read the docs

Requirements

• NumPy (1.7+)

• SciPy (0.12+)

• Pandas (0.14+)

• statsmodels (0.5+)

• matplotlib (1.3+)

Installing * Cython (0.20+) * nose (For tests) * sphinx (to build docs) * sphinx-napoleon (to build docs)

Installing

Setup does not verify requirements. Please ensure these are installed.

Linux/OSX

pip install git+git://github.com/bashtage/arch.git

Anaconda

Anaconda builds are not currently available for OSX.

conda install -c https://conda.binstar.org/bashtage arch

Windows

With a compiler

If you are comfortable compiling binaries on Windows:

pip install git+git://github.com/bashtage/arch.git

No Compiler

All binary code is backed by a pure Python implementation. Compiling can be skipped using the flag --no-binary

pip install git+git://github.com/bashtage/arch.git --install-option "--no-binary"

Note that it isn’t possible to run the test suite will fail if installed with --no-binary

Anaconda

conda install -c https://conda.binstar.org/bashtage arch

More about ARCH

More information about ARCH and related models is available in the notes and research available at Kevin Sheppard’s site.