Index

A

ADF (class in arch.unitroot) alternative_hypothesis (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute) apply() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.StationaryBootstrap method) ARCH (class in arch.univariate)

arch.bootstrap (module) arch.univariate.distribution (module) arch.univariate.mean (module) arch.univariate.volatility (module) arch_model() (in module arch) ARCHModel (class in arch.univariate.base) ARCHModelFixedResult (class in arch.univariate.base) ARCHModelForecast (class in arch.univariate.base) ARCHModelForecastSimulation (class in arch.univariate.base) ARCHModelResult (class in arch.univariate.base) ARX (class in arch.univariate)

B

backcast() (arch.univariate.ARCH method) (arch.univariate.ConstantVariance method) (arch.univariate.EGARCH method) (arch.univariate.EWMAVariance method) (arch.univariate.GARCH method) (arch.univariate.HARCH method) (arch.univariate.MIDASHyperbolic method) (arch.univariate.RiskMetrics2006 method) better_models() (arch.bootstrap.SPA method) bootstrap() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.StationaryBootstrap method)

bounds() (arch.univariate.ARCH method) (arch.univariate.ConstantVariance method) (arch.univariate.EGARCH method) (arch.univariate.EWMAVariance method) (arch.univariate.GARCH method) (arch.univariate.GeneralizedError method) (arch.univariate.HARCH method) (arch.univariate.MIDASHyperbolic method) (arch.univariate.Normal method) (arch.univariate.RiskMetrics2006 method) (arch.univariate.SkewStudent method) (arch.univariate.StudentsT method)

C

CircularBlockBootstrap (class in arch.bootstrap) compute() (arch.bootstrap.MCS method), [1] (arch.bootstrap.SPA method), [1] (arch.bootstrap.StepM method), [1] compute_variance() (arch.univariate.ARCH method) (arch.univariate.ConstantVariance method) (arch.univariate.EGARCH method) (arch.univariate.EWMAVariance method) (arch.univariate.GARCH method) (arch.univariate.HARCH method) (arch.univariate.MIDASHyperbolic method) (arch.univariate.RiskMetrics2006 method) conf_int() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.StationaryBootstrap method) (arch.univariate.base.ARCHModelResult method), [1] ConstantMean (class in arch.univariate) ConstantVariance (class in arch.univariate) constraints() (arch.univariate.ARCH method) (arch.univariate.ConstantVariance method) (arch.univariate.EGARCH method) (arch.univariate.EWMAVariance method) (arch.univariate.GARCH method) (arch.univariate.GeneralizedError method) (arch.univariate.HARCH method) (arch.univariate.MIDASHyperbolic method) (arch.univariate.Normal method) (arch.univariate.RiskMetrics2006 method) (arch.univariate.SkewStudent method) (arch.univariate.StudentsT method)

cov() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.StationaryBootstrap method) critical_values (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute) critical_values() (arch.bootstrap.SPA method)

D

data (arch.bootstrap.CircularBlockBootstrap attribute) (arch.bootstrap.IIDBootstrap attribute) (arch.bootstrap.MovingBlockBootstrap attribute) (arch.bootstrap.StationaryBootstrap attribute)

debiased (arch.unitroot.VarianceRatio attribute) DFGLS (class in arch.unitroot) Distribution (class in arch.univariate)

E

EGARCH (class in arch.univariate)

EWMAVariance (class in arch.univariate)

F

fit() (arch.univariate.ARX method) (arch.univariate.ConstantMean method) (arch.univariate.HARX method) (arch.univariate.LS method) (arch.univariate.ZeroMean method) fix() (arch.univariate.ARX method) (arch.univariate.HARX method) (arch.univariate.LS method) (arch.univariate.ZeroMean method)

FixedVariance (class in arch.univariate) forecast() (arch.univariate.ARX method) (arch.univariate.ConstantMean method) (arch.univariate.HARX method) (arch.univariate.ZeroMean method) (arch.univariate.base.ARCHModelFixedResult method), [1] (arch.univariate.base.ARCHModelResult method)

G

GARCH (class in arch.univariate) GeneralizedError (class in arch.univariate) get_state() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.StationaryBootstrap method)

H

HARCH (class in arch.univariate) HARX (class in arch.univariate)

hedgehog_plot() (arch.univariate.base.ARCHModelFixedResult method) (arch.univariate.base.ARCHModelResult method)

I

IIDBootstrap (class in arch.bootstrap) index (arch.bootstrap.CircularBlockBootstrap attribute) (arch.bootstrap.IIDBootstrap attribute) (arch.bootstrap.MovingBlockBootstrap attribute) (arch.bootstrap.StationaryBootstrap attribute)

K

KPSS (class in arch.unitroot) kw_data (arch.bootstrap.CircularBlockBootstrap attribute) (arch.bootstrap.IIDBootstrap attribute) (arch.bootstrap.MovingBlockBootstrap attribute) (arch.bootstrap.StationaryBootstrap attribute)

L

lags (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute) loglikelihood (arch.univariate.base.ARCHModelFixedResult attribute) (arch.univariate.base.ARCHModelResult attribute)

loglikelihood() (arch.univariate.GeneralizedError method) (arch.univariate.Normal method) (arch.univariate.SkewStudent method) (arch.univariate.StudentsT method) LS (class in arch.univariate)

M

MCS (class in arch.bootstrap) mean (arch.univariate.base.ARCHModelForecast attribute) MIDASHyperbolic (class in arch.univariate)

model (arch.univariate.base.ARCHModelFixedResult attribute) (arch.univariate.base.ARCHModelResult attribute) MovingBlockBootstrap (class in arch.bootstrap)

N

Normal (class in arch.univariate) null_hypothesis (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute)

num_params (arch.univariate.ARCH attribute) (arch.univariate.EGARCH attribute) (arch.univariate.EWMAVariance attribute) (arch.univariate.GARCH attribute) (arch.univariate.HARCH attribute) (arch.univariate.MIDASHyperbolic attribute) (arch.univariate.RiskMetrics2006 attribute)

O

overlap (arch.unitroot.VarianceRatio attribute)

P

param_cov (arch.univariate.base.ARCHModelResult attribute) params (arch.univariate.base.ARCHModelFixedResult attribute) (arch.univariate.base.ARCHModelResult attribute) PhillipsPerron (class in arch.unitroot) plot() (arch.univariate.base.ARCHModelFixedResult method), [1] (arch.univariate.base.ARCHModelResult method), [1] pos_data (arch.bootstrap.CircularBlockBootstrap attribute) (arch.bootstrap.IIDBootstrap attribute) (arch.bootstrap.MovingBlockBootstrap attribute) (arch.bootstrap.StationaryBootstrap attribute)

pvalue (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute) pvalues (arch.bootstrap.SPA attribute)

R

random_state (arch.bootstrap.CircularBlockBootstrap attribute) (arch.bootstrap.IIDBootstrap attribute) (arch.bootstrap.MovingBlockBootstrap attribute) (arch.bootstrap.StationaryBootstrap attribute) regression (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) reset() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.SPA method) (arch.bootstrap.StationaryBootstrap method)

resid (arch.univariate.base.ARCHModelFixedResult attribute) (arch.univariate.base.ARCHModelResult attribute) resids() (arch.univariate.ARX method) (arch.univariate.ConstantMean method) (arch.univariate.HARX method) (arch.univariate.LS method) (arch.univariate.ZeroMean method) residual_variance (arch.univariate.base.ARCHModelForecast attribute) residual_variances (arch.univariate.base.ARCHModelForecastSimulation attribute) residuals (arch.univariate.base.ARCHModelForecastSimulation attribute) RiskMetrics2006 (class in arch.univariate) robust (arch.unitroot.VarianceRatio attribute)

S

seed() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.SPA method) (arch.bootstrap.StationaryBootstrap method) set_state() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.StationaryBootstrap method) simulate() (arch.univariate.ARCH method) (arch.univariate.ARX method) (arch.univariate.ConstantMean method) (arch.univariate.ConstantVariance method) (arch.univariate.EGARCH method) (arch.univariate.EWMAVariance method) (arch.univariate.GARCH method) (arch.univariate.GeneralizedError method) (arch.univariate.HARCH method) (arch.univariate.HARX method) (arch.univariate.LS method) (arch.univariate.MIDASHyperbolic method) (arch.univariate.Normal method) (arch.univariate.RiskMetrics2006 method) (arch.univariate.SkewStudent method) (arch.univariate.StudentsT method) (arch.univariate.ZeroMean method) SkewStudent (class in arch.univariate) SPA (class in arch.bootstrap) starting_values() (arch.univariate.ARCH method) (arch.univariate.ConstantVariance method) (arch.univariate.EGARCH method) (arch.univariate.EWMAVariance method) (arch.univariate.GARCH method) (arch.univariate.GeneralizedError method) (arch.univariate.HARCH method) (arch.univariate.MIDASHyperbolic method) (arch.univariate.Normal method) (arch.univariate.RiskMetrics2006 method) (arch.univariate.SkewStudent method) (arch.univariate.StudentsT method)

stat (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute) StationaryBootstrap (class in arch.bootstrap) StepM (class in arch.bootstrap) StudentsT (class in arch.univariate) summary (arch.unitroot.ADF attribute) (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute) summary() (arch.unitroot.ADF method) (arch.unitroot.DFGLS method) (arch.unitroot.KPSS method) (arch.unitroot.PhillipsPerron method) (arch.unitroot.VarianceRatio method) (arch.univariate.base.ARCHModelFixedResult method), [1] (arch.univariate.base.ARCHModelResult method), [1] superior_models (arch.bootstrap.StepM attribute)

T

test_type (arch.unitroot.PhillipsPerron attribute) trend (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute)

V

valid_trends (arch.unitroot.ADF attribute), [1] (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute) values (arch.univariate.base.ARCHModelForecastSimulation attribute) var() (arch.bootstrap.CircularBlockBootstrap method) (arch.bootstrap.IIDBootstrap method) (arch.bootstrap.MovingBlockBootstrap method) (arch.bootstrap.StationaryBootstrap method)

variance (arch.univariate.base.ARCHModelForecast attribute) VarianceRatio (class in arch.unitroot) variances (arch.univariate.base.ARCHModelForecastSimulation attribute) VolatilityProcess (class in arch.univariate.volatility)

Y

y (arch.unitroot.ADF attribute) (arch.unitroot.DFGLS attribute) (arch.unitroot.KPSS attribute) (arch.unitroot.PhillipsPerron attribute) (arch.unitroot.VarianceRatio attribute)

Z

ZeroMean (class in arch.univariate)