Skip to main content

ARCH for Python

Project description

Documentation Status CI Status Coverage Status

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


Download files

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

Source Distributions

arch-1.0.zip (49.0 kB view hashes)

Uploaded Source

arch-1.0.tar.bz2 (34.3 kB view hashes)

Uploaded Source

Built Distributions

arch-1.0.win-amd64-py3.3.exe (325.3 kB view hashes)

Uploaded Source

arch-1.0.win-amd64-py2.7.exe (330.1 kB view hashes)

Uploaded Source

arch-1.0-cp33-none-win_amd64.whl (101.7 kB view hashes)

Uploaded CPython 3.3 Windows x86-64

arch-1.0-cp27-none-win_amd64.whl (105.0 kB view hashes)

Uploaded CPython 2.7 Windows x86-64

Supported by

AWS AWS Cloud computing and Security Sponsor Datadog Datadog Monitoring Fastly Fastly CDN Google Google Download Analytics Microsoft Microsoft PSF Sponsor Pingdom Pingdom Monitoring Sentry Sentry Error logging StatusPage StatusPage Status page