tsgarch - Univariate GARCH Models

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Last updated 2 months ago

garchcpp

6.97 score 13 stars 1 dependents 16 scripts 574 downloads

tsdistributions - Location Scale Standardized Distributions

Location-Scale based distributions parameterized in terms of mean, standard deviation, skew and shape parameters and estimation using automatic differentiation. Distributions include the Normal, Student and GED as well as their skewed variants ('Fernandez and Steel'), the 'Johnson SU', and the Generalized Hyperbolic. Also included is the semi-parametric piece wise distribution ('spd') with Pareto tails and kernel interior.

Last updated 3 months ago

distributionsfinanceprobability-distributionprobability-distributionsstatistical-distributionstimeseriescpp

6.74 score 4 stars 2 dependents 19 scripts 492 downloads

tsmarch - Multivariate ARCH Models

Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.

Last updated 2 months ago

econometricsfinancegarchmultivariate-timeseriestime-seriesopenblascpp

5.57 score 5 stars 2 scripts 419 downloads

tstests - Time Series Goodness of Fit and Forecast Evaluation Tests

Goodness of Fit and Forecast Evaluation Tests for timeseries models. Includes, among others, the Generalized Method of Moments (GMM) Orthogonality Test of Hansen (1982), the Nyblom (1989) parameter constancy test, the sign-bias test of Engle and Ng (1993), and a range of tests for value at risk and expected shortfall evaluation.

Last updated 3 months ago

forecastingstatistical-tests

5.10 score 5 stars 3 scripts 653 downloads

tsmethods - Time Series Methods

Generic methods for use in a time series probabilistic framework, allowing for a common calling convention across packages. Additional methods for time series prediction ensembles and probabilistic plotting of predictions is included. A more detailed description is available at <https://www.nopredict.com/packages/tsmethods> which shows the currently implemented methods in the 'tsmodels' framework.

Last updated 3 months ago

5.08 score 2 stars 4 dependents 1 scripts 543 downloads