Regime-aware volatility modeling with automatic GARCH fitting
Project description
Auto-GARCH
Regime-aware volatility modeling with automatic GARCH fitting.
Usage
from auto_garch import AutoGarch, Config
csv_path = "SPY.csv" value_col = "Close" date_col = "Date"
pipeline = AutoGarch(Config()) result = pipeline.run(csv_path, value_col, date_col)
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