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ARCH for Python

Project Description

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.

Release History

Release History

History Node

4.3.1

History Node

4.3

History Node

4.2

History Node

4.1

History Node

4.0

History Node

3.2

History Node

3.1

History Node

3.0

History Node

2.0

This version
History Node

1.0

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File Name & Checksum SHA256 Checksum Help Version File Type Upload Date
arch-1.0-cp27-none-win_amd64.whl (105.0 kB) Copy SHA256 Checksum SHA256 2.7 Wheel Sep 3, 2014
arch-1.0-cp33-none-win_amd64.whl (101.7 kB) Copy SHA256 Checksum SHA256 3.3 Wheel Sep 3, 2014
arch-1.0.tar.bz2 (34.3 kB) Copy SHA256 Checksum SHA256 Source Sep 3, 2014
arch-1.0.win-amd64-py2.7.exe (330.1 kB) Copy SHA256 Checksum SHA256 2.7 Windows Installer Sep 3, 2014
arch-1.0.win-amd64-py3.3.exe (325.3 kB) Copy SHA256 Checksum SHA256 3.3 Windows Installer Sep 3, 2014
arch-1.0.zip (49.0 kB) Copy SHA256 Checksum SHA256 Source Sep 3, 2014

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