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tsmodels
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>.
Maintained by Alexios Galanos. Last updated 3 months ago.
econometricsfinancegarchmultivariate-timeseriestime-seriesopenblascpp
6 stars 5.65 score 3 scripts