ARCH/GARCH volatility models for financial time series
Project description
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
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