bashtage/arch

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ARCH models in Python

Is bashtage/arch beginner-friendly?

In the last 30 days, bashtage/arch merged 21 of 25 pull requests from outside contributors, and its maintainers usually reply within 1 day. 1 beginner-friendly issue is open now.

Stars
1.6k
Forks
298
Open beginner issues
1
Indexed issues
34
Avg merge
14h 46m
Merged PRs (30d)
106
Dominant language
Python
License
No license data
Last GitHub push
Oct 6, 2026
Latest indexed
Oct 6, 2026
No contributing guide
No code of conduct
Beginner labels
help wanted

How to contribute to bashtage/arch

  1. There is no contributing guide, so start from the README and a few recently merged pull requests to see how changes are proposed.
  2. Pick the open beginner-friendly issue below and comment that you want to work on it before you start.
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Issues somebody may already be working on are listed last. List everything by date

  • KPSS returns a large statistic (p=0.0001) for a constant series instead of raising
    Open
    • Is something wrong?

    Difficulty 2/5 1-3 hours Newbie friendliness 68/100

    bashtage/arch#986 ·

    Maintainers usually reply within 1 day

  • ENH: VaR backtests (Kupiec, Christoffersen, Basel traffic light) and a "maximum undetectable understatement" diagnostic
    Open
    • Is something wrong?

    Difficulty 5/5 Over a week Newbie friendliness 12/100

    bashtage/arch#904 ·

    Maintainers usually reply within 1 day

  • Analytic GJR forecasts assume E[z^2 1(z<0)] = 0.5 with skewed distributions
    Open
    • Is something wrong?

    Difficulty 4/5 3-5 days Newbie friendliness 52/100

    bashtage/arch#867 ·

    Maintainers usually reply within 1 day

  • Technical caveats with advanced CI methods (bca, studentized) implemented for block bootstrap methods
    Open
    • Is something wrong?

    Difficulty 5/5 Over a week Newbie friendliness 22/100

    bashtage/arch#801 · 1 comment ·

    Maintainers usually reply within 1 day

  • Support for obtaining p-values for significance tests from bootstrap classes
    Open
    • Is something wrong?

    Difficulty 5/5 Over a week Newbie friendliness 35/100

    bashtage/arch#800 ·

    Maintainers usually reply within 1 day

  • Suggestion: Introduce parameter inverse transformation after fit to rescaled time series
    Open
    • Is something wrong?

    Difficulty 4/5 3-5 days Newbie friendliness 35/100

    bashtage/arch#748 · 2 comments ·

    Maintainers usually reply within 1 day

  • How to simulate GARCH data for Monte Carlo simulations?
    Open
    • Is something wrong?

    Difficulty 4/5 3-5 days Newbie friendliness 25/100

    bashtage/arch#725 · 1 comment · 1 reaction ·

    Maintainers usually reply within 1 day

  • Can we introduce an user-defined optional lower-bound in the stationary constraint of the variance process?
    Open
    • Is something wrong?

    Difficulty 5/5 Over a week Newbie friendliness 25/100

    bashtage/arch#724 · 1 comment ·

    Maintainers usually reply within 1 day

  • Details on Hansen's Skewed T
    Open
    • Is something wrong?

    Difficulty 5/5 Over a week Newbie friendliness 20/100

    bashtage/arch#723 · 1 comment ·

    Maintainers usually reply within 1 day

  • Source for Long Run Covariance Estimator
    Open
    • Is something wrong?

    Difficulty 2/5 1-3 hours Newbie friendliness 25/100

    bashtage/arch#715 ·

    Maintainers usually reply within 1 day

  • volatility forecast in comparison with realized volatility
    Open
    • Is something wrong?

    Difficulty 3/5 1-2 days Newbie friendliness 20/100

    bashtage/arch#701 · 3 comments ·

    Maintainers usually reply within 1 day

  • How to compare GARCH volatility forecast performance?
    Open
    • Is something wrong?

    Difficulty 2/5 1-3 hours Newbie friendliness 25/100

    bashtage/arch#607 ·

    Maintainers usually reply within 1 day

  • Apply model to new data?
    Open
    • Is something wrong?

    Difficulty 4/5 3-5 days Newbie friendliness 22/100

    bashtage/arch#605 · 6 comments ·

    Maintainers usually reply within 1 day

  • ENH: Markov Switching (MS)-GARCH
    Open
    • Is something wrong?
    enhancement help wanted

    Difficulty 5/5 Over a week Newbie friendliness 20/100

    bashtage/arch#577 · 1 comment ·

    Maintainers usually reply within 1 day

  • How to Combine This With ARMA model?
    Open
    • Is something wrong?
    help wanted question

    Difficulty 4/5 3-5 days Newbie friendliness 35/100

    bashtage/arch#542 · 4 comments ·

    Maintainers usually reply within 1 day

  • ENH: FIAPARCH and FIEGARCH with ARCH package
    Open
    • Is something wrong?
    enhancement help wanted

    Difficulty 5/5 Over a week Newbie friendliness 20/100

    bashtage/arch#531 · 2 comments ·

    Maintainers usually reply within 1 day

  • ENH: allow exogenous variable to be numpy 2-d array
    Open
    • Is something wrong?
    enhancement

    Difficulty 4/5 3-5 days Newbie friendliness 38/100

    bashtage/arch#517 · 3 comments ·

    Maintainers usually reply within 1 day

  • ENH: Add a method to append new data to an existing model to simplify updating out-of-sample observations
    May be free again Open
    • Is something wrong?
    enhancement

    bashtage/arch#416 · 2 comments · 1 assignee ·

    Maintainers usually reply within 1 day

  • ROADMAP: Future plans
    Open
    • Is something wrong?
    enhancement help wanted roadmap

    Difficulty 5/5 Over a week Newbie friendliness 20/100

    bashtage/arch#351 · 3 comments ·

    Maintainers usually reply within 1 day

  • Bootstrap prediction interval
    May be free again Open
    • Is something wrong?
    enhancement

    bashtage/arch#323 · 9 comments · 1 assignee ·

    Maintainers usually reply within 1 day

  • Fitting GARCH model using fixed lags
    Open
    • Is something wrong?
    enhancement

    Difficulty 4/5 3-5 days Newbie friendliness 25/100

    bashtage/arch#217 · 3 comments ·

    Maintainers usually reply within 1 day

  • multivariate garch support?
    Open
    • Is something wrong?
    enhancement

    Difficulty 5/5 Over a week Newbie friendliness 15/100

    bashtage/arch#201 · 2 comments ·

    Maintainers usually reply within 1 day

  • GARCH model with exogenous regressors not functioning?
    May be free again Open
    • Is something wrong?
    enhancement

    bashtage/arch#160 · 29 comments · 1 reaction · 1 assignee ·

    Maintainers usually reply within 1 day

  • Rolling window forecast with rolling demean
    Possibly taken Open
    • Is something wrong?

    Difficulty 3/5 1-2 days Newbie friendliness 25/100

    bashtage/arch#633 · 3 comments ·

    Maintainers usually reply within 1 day

  • Li-Mak test for residual from arch model
    Possibly taken Open
    • Is something wrong?
    enhancement

    Difficulty 5/5 Over a week Newbie friendliness 15/100

    bashtage/arch#405 · 2 comments ·

    Maintainers usually reply within 1 day

  • Multivariate ARCH Tracking
    Possibly taken Open
    • Is something wrong?
    enhancement

    Difficulty 5/5 Over a week Newbie friendliness 15/100

    bashtage/arch#242 · 2 comments ·

    Maintainers usually reply within 1 day

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