Fitting GARCH model using fixed lags

Open
  • Is something wrong?
#217 3 comments 0 reactions 0 assignees View on GitHub

Maintainers usually reply within 1 day

Nobody has claimed this yet.

Assessment

Difficulty
4/5
Estimated time
3-5 days
Newbie friendliness
25/100
Issue type
Feature
Clarity
Mostly clear
Activity status
Stale
Tech stack
python
Domain
data

Research direction

Start by reading the existing GARCH model API and documentation to see how lag orders and fixed parameter values are handled. Done means determining whether the requested zero first volatility lag can be specified while estimating the remaining parameters, and documenting any gap in the current framework.

Written by the indexing model from the issue text.

Description

enhancement

Is it possible to force the p in the GARCH model to be zero for the first conditional volatility lag and then estimate he rest of the parameters for the rest of the lags?

i.e I wanna be able to fit the following model to the data:

Is it possible to be done in the existing framework?

Dominant language
Python
Stars
1.6k
Forks
298
Avg merge
14h 46m
Merged PRs (30d)
106

Getting set up

This project ships no dev container, Dockerfile or contributing guide, so setting up is up to you: start from its README, and see our first-contribution guide for the general steps.

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

More from bashtage/arch

All issues in bashtage/arch

Similar issues

More Python issues

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.