ARCH for Python
Project description
ARCH
This is a work-in-progress for ARCH and related models, written in Python (and Cython)
What is this repository for?
Mean models
Constant mean
Heterogeneous Autoregression (HAR)
Autoregression (AR)
Zero mean
Models with and without exogensou regressors
Volatility models
ARCH
GARCH
TARCH
EGARCH
EWMA/RiskMetrics
Distributions
Normal
Student’s T
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+)
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 will fail if installed with --no-binary
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.
Project details
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