Skip to main content
Join the official 2020 Python Developers SurveyStart the survey!

DCC-GARCH(1,1)

Project description

mgarch

mgarch is a python package for predicting volatility of daily returns in financial markets.

DCC-GARCH(1,1) for multivariate normal and student t distribution.

Use case:

For Multivariate normal Distribution

rt = (t, n) numpy matrix with t days of observation and n number of assets
import mgarch
vol = mgarch.mgarch()
vol.fit(rt)
ndays = 10 # volatility of nth day
cov_nextday = vol.predict(ndays)

For Multivariate Student-t Distribution

rt = (t, n) numpy matrix with t days of observation and n number of assets
import mgarch
dist = 't'
vol = mgarch.mgarch(dist)
vol.fit(rt)
ndays = 10 # volatility of nth day
cov_nextday = vol.predict(ndays)

Contributing

Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.

Please make sure to update tests as appropriate.

License

Academic Free License v3.0

Project details


Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Files for mgarch, version 0.2.0
Filename, size File type Python version Upload date Hashes
Filename, size mgarch-0.2.0.tar.gz (3.1 kB) File type Source Python version None Upload date Hashes View

Supported by

Pingdom Pingdom Monitoring Google Google Object Storage and Download Analytics Sentry Sentry Error logging AWS AWS Cloud computing DataDog DataDog Monitoring Fastly Fastly CDN DigiCert DigiCert EV certificate StatusPage StatusPage Status page