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alexiosg
rugarch:Univariate GARCH Models
ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
Maintained by Alexios Galanos. Last updated 3 months ago.
26 stars 12.25 score 1.3k scripts 16 dependents
tsmodels
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.
Maintained by Alexios Galanos. Last updated 4 months ago.
13 stars 6.93 score 16 scripts 1 dependents
smart-cities-accelerator
onlineforecast:Forecast Modelling for Online Applications
A framework for fitting adaptive forecasting models. Provides a way to use forecasts as input to models, e.g. weather forecasts for energy related forecasting. The models can be fitted recursively and can easily be setup for updating parameters when new data arrives. See the included vignettes, the website <https://onlineforecasting.org> and the paper "onlineforecast: An R package for adaptive and recursive forecasting" <https://journal.r-project.org/articles/RJ-2023-031/>.
Maintained by Peder Bacher. Last updated 1 years ago.
3 stars 3.28 score 16 scripts