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Published December 13, 2018 | Version 4.7.0
Software Open

bashtage/arch: Release 4.7

Creators

  • 1. New Economic School
  • 2. @volatility
  • 3. Bonjournal
  • 4. @lgtmhq
  • 5. MPI for Innovation and Competition

Description

This is a feature and bug release:

  • Added support for Fractionally Integrated GARCH (FIGARCH)
  • Enable user to specify a specific value of the backcast in place of the automatically generated value.
  • Fixed a big where parameter-less models where incorrectly reported as having constant variance

Files

bashtage/arch-4.7.0.zip

Files (1.1 MB)

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md5:14af93d2ba9e61160f8882bd6c2d2b93
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Additional details

Related works

Is supplement to
https://github.com/bashtage/arch/tree/4.7.0 (URL)