archbox
ARCH/GARCH volatility models for financial time series.
Installation
pip install -e ".[dev]"
Quick Start
from archbox import GARCH
from archbox.datasets import load_dataset
sp500 = load_dataset('sp500')
returns = sp500['returns']
model = GARCH(returns, p=1, q=1)
results = model.fit()
print(results.summary())
forecast = results.forecast(horizon=10)
License
MIT
1 maintainer
Metadata
1 maintainer
Release files for garchbox 0.1.0
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Source distribution (sdist)
| File | Size | Uploaded | |
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| garchbox-0.1.0.tar.gz | 320.4 kB | Details |
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| File | Interpreter | ABI | Platform | Reset |
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| garchbox-0.1.0-py3-none-any.whl | Python 3 | none | any | Details |
Total release size: 729.0 kB
Release files / garchbox-0.1.0.tar.gz
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| Tags | Python 3 |
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