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Published December 13, 2017 | Version 4.3
Software Open

bashtage/arch: Release 4.3

Authors/Creators

  • 1. New Economic School
  • 2. @volatility
  • 3. Bonjournal
  • 4. University of Cape Town

Description

  • Fixed a bug that prevented 1-step forecasts with exogenous regressors
  • Added the Generalized Error Distribution for univariate ARCH models
  • Fixed a bug in MCS when using the max method that prevented all included models from being listed
  • Added FixedVariance volatility process which allows pre-specified variances to be used with a mean model. This has been added to allow so-called zig-zag estimation where a mean model is estimated with a fixed variance, and then a variance model is estimated on the residuals using a ZeroMean variance process.

Files

bashtage/arch-4.3.zip

Files (1.1 MB)

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Additional details

Related works

Is supplement to
https://github.com/bashtage/arch/tree/4.3 (URL)