ARCH
This is a work-in-progress for ARCH and other tools for financial econometrics, written in Python (and Cython)
What is in this repository?
Univariate ARCH Models
Mean models
Constant mean
Heterogeneous Autoregression (HAR)
Autoregression (AR)
Zero mean
Models with and without exogenous regressors
Volatility models
ARCH
GARCH
TARCH
EGARCH
EWMA/RiskMetrics
Distributions
Normal
Student’s T
Bootstrapping
Bootstraps
IID Bootstrap
Stationary Bootstrap
Circular Block Bootstrap
Moving Block Bootstrap
Methods
Confidence interval construction
Covariance estimation
Apply method to estimate model across bootstraps
Generic Bootstrap iterator
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+)
Optional Requirements
Numba (0.14+), only required if installing using –no-binary
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. It will fail if installed with --no-binary since it tests the Numba implementations against Cython implementations.
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.
Contributing
Contributions are welcome. There are opportunities at many levels to contribute:
Implement new volatility process, e.g FIGARCH
Improve docstrings where unclear or with typos
Provide examples, preferably in the form of IPython notebooks
1 maintainer
Metadata
1 maintainer
Release files for arch 2.0
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distributions (sdists)
| File | Size | Uploaded | |
|---|---|---|---|
| arch-2.0.zip | 68.2 kB | Details | |
| arch-2.0.tar.bz2 | 45.9 kB | Details |
Built distributions (wheels)
| File | Reset | |||
|---|---|---|---|---|
| arch-2.0.win-amd64-py3.4.exe | Details | |||
| arch-2.0.win-amd64-py3.3.exe | Details | |||
| arch-2.0.win-amd64-py2.7.exe | Details | |||
| arch-2.0-cp34-none-win_amd64.whl | CPython 3.4 | none | Windows x86-64 | Details |
| arch-2.0-cp33-none-win_amd64.whl | CPython 3.3 | none | Windows x86-64 | Details |
| arch-2.0-cp27-none-win_amd64.whl | CPython 2.7 | none | Windows x86-64 | Details |
Total release size: 1.8 MB
Release files / arch-2.0.zip
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Release files / arch-2.0.tar.bz2
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