Changes since 4.8.1¶
- Removed support for Python 2.7.
auto_bandwidth()to compute optimized bandwidth for a number of common kernel covariance estimators (GH303). This code was written by Michael Rabba.
- Added a parameter rescale to
arch_model()that allows the estimator to rescale data if it may help parameter estimation. If rescale=True, then the data will be rescaled by a power of 10 (e.g., 10, 100, or 1000) to produce a series with a residual variance between 1 and 1000. The model is then estimated on the rescaled data. The scale is reported
scale(). If rescale=None, a warning is produced if the data appear to be poorly scaled, but no change of scale is applied. If rescale=False, no scale change is applied and no warning is issued.
- Fixed a bug when using the BCA bootstrap method where the leave-one-out jackknife used the wrong centering variable (GH288).
optimization_result()to simplify checking for convergence of the numerical optimizer (GH292).
- Added random_state argument to
forecast()to allow a
RandomStateobject to be passed in when forecasting when method=’bootstrap’. This allows the repeatable forecast to be produced (GH290).
- Fixed a bug in
VarianceRatiothat used the wrong variance in nonrobust inference with overlapping samples (GH286).
- Fixed a bug which prevented extension modules from being correctly imported.
- Added Zivot-Andrews unit root test
ZivotAndrews. This code was originally written by Jim Varanelli.
- Added data dependent lag length selection to the KPSS test,
KPSS. This code was originally written by Jim Varanelli.
IndependentSamplesBootstrapto perform bootstrap inference on statistics from independent samples that may have uneven length (GH260).
arch_lm_test()to perform ARCH-LM tests on model residuals or standardized residuals (GH261).
- Fixed a bug in
ADFwhen applying to very short time series (GH262).
- Added ability to set the
random_statewhen initializing a bootstrap (GH259).
- Added support for MIDAS volatility processes using Hyperbolic
- Added a parameter to forecast that allows a user-provided callable random generator to be used in place of the model random generator (GH225).
- Added a low memory automatic lag selection method that can be used with very large time-series.
- Improved performance of automatic lag selection in ADF and related tests.
- 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.
FixedVariancevolatility 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
- Fixed a bug that prevented
fixfrom being used with a new model (GH156).
- Added ability to jointly estimate smoothing parameter in EWMA variance when fitting the model.
- Added ability to pass optimization options to ARCH model estimation (GH195).
Changes since 3.0¶
- Added forecast code for mean forecasting
- Added volatility hedgehog plot
fixto arch models which allows for user specified parameters instead of estimated parameters.
- Added Hansen’s Skew T distribution to distribution (Stanislav Khrapov)
- Updated IPython notebooks to latest IPython version
- Bug and typo fixes to IPython notebooks
- Changed MCS to give a pvalue of 1.0 to best model. Previously was NaN
last_obsfrom model initialization and to
fitmethod to simplify estimating a model over alternative samples (e.g., rolling window estimation)
hold_backto only accept integers so that is simply defined the number of observations held back. This number is now held out of the sample irrespective of the value of
Changes since 2.1¶
- Added multiple comparison procedures
- Typographical and other small changes
Changes since 2.0¶
- Add unit root tests: * Augmented Dickey-Fuller * Dickey-Fuller GLS * Phillips-Perron * KPSS * Variance Ratio
- Removed deprecated locations for ARCH modeling functions
Changes since 1.0¶
- Refactored to move the univariate routines to arch.univariate and added deprecation warnings in the old locations
- Enable numba jit compilation in the python recursions
- Added a bootstrap framework, which will be used in future versions. The bootstrap framework is general purpose and can be used via high-level functions such as conf_int or cov, or as a low level iterator using bootstrap