arch 2.0

ARCH for Python

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