Volatility Processes

A volatility process is added to a mean model to capture time-varying volatility.

ConstantVariance() Constant volatility process
GARCH([p, o, q, power]) GARCH and related model estimation
FIGARCH([p, q, power, truncation]) FIGARCH model
EGARCH([p, o, q]) EGARCH model estimation
HARCH([lags]) Heterogeneous ARCH process
MIDASHyperbolic([m, asym]) MIDAS Hyperbolic ARCH process
ARCH([p]) ARCH process

Parameterless Variance Processes

Some volatility processes use fixed parameters and so have no parameters that are estimable.

EWMAVariance([lam]) Exponentially Weighted Moving-Average (RiskMetrics) Variance process
RiskMetrics2006([tau0, tau1, kmax, rho]) RiskMetrics 2006 Variance process


The FixedVariance class is a special-purpose volatility process that allows the so-called zig-zag algorithm to be used. See the example for usage.

FixedVariance(variance[, unit_scale]) Fixed volatility process

Writing New Volatility Processes

All volatility processes must inherit from :class:VolatilityProcess and provide all public methods.

VolatilityProcess() Abstract base class for ARCH models.