How to Combine This With ARMA model?
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Assessment
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Newbie friendliness
- 35/100
- Issue type
- Documentation
- Clarity
- Needs clarification
- Activity status
- Quiet
- Tech stack
- python
- Domain
- fintech-quant
Research direction
Start by reading the package documentation for ARMA and GARCH modeling, then compare its supported workflow with the joint model behavior described for rugarch. The issue does not identify files or tests; done means clarifying whether and how this library supports the requested joint modeling behavior.
Written by the indexing model from the issue text.
Description
Hi there,
I'm trying to get this package to replicate the behavior found in rugarch. It allows you to specify an ARMA and GARCH model jointly. Do you have any pointers for how to do that with this library?
I'd assume you'd fit an ARMA model, feed the residuals into GARCH, and then add the conditional mean from the ARMA model (which would be the forecasted value less sigma), and then add in the variance from the GARCH model. Correct? Thank you for your help.
- Dominant language
- Python
- Stars
- 1.6k
- Forks
- 298
- Avg merge
- 14h 46m
- Merged PRs (30d)
- 106
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