Published August 13, 2018
| Version 4.4
Software
Open
bashtage/arch: Release 4.4
Authors/Creators
- 1. New Economic School
- 2. @volatility
- 3. Bonjournal
- 4. MPI for Innovation and Competition
Description
I am pleased to announce a new release of arch.
Changes include:
- Added named parameters to Dickey-Fuller regressions.
- Removed use of the module-level NumPy RandomState. All random number generators use separate RandomState instances.
- 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
Files
bashtage/arch-4.4.zip
Files
(1.1 MB)
| Name | Size | Download all |
|---|---|---|
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md5:0aa125ebe62ad3ea9b387c7c96b6446e
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1.1 MB | Preview Download |
Additional details
Related works
- Is supplement to
- https://github.com/bashtage/arch/tree/4.4 (URL)