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Published August 14, 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

This is a minor release containing mostly bug fixes.

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)

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Additional details

Related works

Is supplement to
https://github.com/bashtage/arch/tree/4.4 (URL)