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ENH: ARCH models in Python
This package provides a set of ARCH model with AR and HAR mean dynamics
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‎.travis.yml

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# Travis script that uses miniconda in place of the system installed python
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# versions. Allows substantial flexability for choosing versions of
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# required packages and is simpler to use to test up-to-date scientific Python
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# stack
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language: python
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env:
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# Default values for common packages, override as needed
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global:
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- CYTHON=0.20
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- PATSY=0.2
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- PANDAS=
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- OPTIONAL=
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- STATSMODELS=
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- COVERAGE=true
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matrix:
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fast_finish: true
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include:
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- python: 2.7
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env:
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- PYTHON=2.7
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- NUMPY=1.7
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- SCIPY=0.12
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- python: 2.7
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env:
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- PYTHON=3.3
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- NUMPY=1.8
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- SCIPY=0.14
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- PANDAS=0.14
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- COVERAGE=false
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notifications:
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email:
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on_success: always
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# Setup anaconda
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before_install:
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- wget http://repo.continuum.io/miniconda/Miniconda-latest-Linux-x86_64.sh -O miniconda.sh
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- chmod +x miniconda.sh
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- ./miniconda.sh -b
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- export PATH=/home/travis/miniconda/bin:$PATH
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- sudo apt-get install pandoc
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- conda update --yes --quiet conda
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# Fix for headless TravisCI
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- "export DISPLAY=:99.0"
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- "sh -e /etc/init.d/xvfb start"
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# Avoid noise from matplotlib
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- mkdir $HOME/.config
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- mkdir $HOME/.config/matplotlib
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# Install packages
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install:
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- conda create --yes --quiet -n arch-test python=${PYTHON} numpy=${NUMPY} scipy=${SCIPY} ipython-notebook statsmodels dateutil nose pip pyyaml setuptools Cython numba matplotlib
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- source activate arch-test
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- if [ ${COVERAGE} = true ]; then pip install coverage coveralls nose-cov; fi
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- python setup.py build
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script:
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- SRCDIR=$PWD
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- python setup.py install
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# Show versions
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- mkdir -p "${SRCDIR}/travis-test"; cd "${SRCDIR}/travis-test"
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- python -c 'import statsmodels.api as sm; sm.show_versions();'
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- echo 'import arch; a=arch.test(); import sys; sys.exit((len(a.failures)+len(a.errors))>0)' > test.py
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- if [ ${COVERAGE} = true ]; then coverage run --rcfile=${SRCDIR}/.travis_coveragerc test.py; else python test.py; fi
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after_success:
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- if [ ${COVERAGE} = true ]; then coveralls --rcfile=${SRCDIR}/.travis_coveragerc; fi

‎.travis_coveragerc

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# .coveragerc to control coverage.py
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[run]
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source = arch
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branch = True
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include = */arch/*
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omit = *test_*.py
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[report]
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# Regexes for lines to exclude from consideration
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exclude_lines =
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# Have to re-enable the standard pragma
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pragma: no cover
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# Don't complain if tests don't hit defensive assertion code:
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raise NotImplementedError
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except NotImplementedError
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# Ignore pass
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pass
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include = */arch/*
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omit = *test_*.py,*/compat/*,*recursions.py
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ignore_errors = True

‎LICENSE.md

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**Copyright (c) 2014 Kevin Sheppard. All rights reserved.**
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Developed by: Kevin Sheppard (<[email protected]>,
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<[email protected]>)
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[http://www.kevinsheppard.com](http://www.kevinsheppard.com)
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Permission is hereby granted, free of charge, to any person obtaining a copy of
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this software and associated documentation files (the "Software"), to deal with
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the Software without restriction, including without limitation the rights to
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use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies
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of the Software, and to permit persons to whom the Software is furnished to do
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so, subject to the following conditions:
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Redistributions of source code must retain the above copyright notice, this
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list of conditions and the following disclaimers.
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Redistributions in binary form must reproduce the above copyright notice, this
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list of conditions and the following disclaimers in the documentation and/or
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other materials provided with the distribution.
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Neither the names of Kevin Sheppard, nor the names of its contributors may be
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used to endorse or promote products derived from this Software without specific
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prior written permission.
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**THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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CONTRIBUTORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS WITH
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THE SOFTWARE.**

‎MANIFEST.in

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include VERSION

‎README.md

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[![Documentation Status](https://readthedocs.org/projects/arch/badge/?version=latest)](https://readthedocs.org/projects/arch/?badge=latest)
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[![CI Status](https://travis-ci.org/bashtage/arch.svg?branch=master)](https://travis-ci.org/bashtage/arch)
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[![Coverage Status](https://coveralls.io/repos/bashtage/arch/badge.png?branch=master)](https://coveralls.io/r/bashtage/arch?branch=master)
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# ARCH
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This is a work-in-progress for ARCH and related models, written in Python
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(and Cython)
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## What is this repository for?
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* Mean models
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* Constant mean
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* Heterogeneous Autoregression (HAR)
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* Autoregression (AR)
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* Zero mean
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* Models with and without exogensou regressors
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* Volatility models
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* ARCH
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* GARCH
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* TARCH
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* EGARCH
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* EWMA/RiskMetrics
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* Distributions
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* Normal
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* Student's T
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## Examples
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See the [example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/Examples.ipynb)
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for a more complete overview.
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```python
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import datetime as dt
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import pandas.io.data as web
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st = dt.datetime(1990,1,1)
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en = dt.datetime(2014,1,1)
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data = web.get_data_yahoo('^FTSE', start=st, end=en)
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returns = 100 * data['Adj Close'].pct_change().dropna()
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from arch import arch_model
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am = arch_model(returns)
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res = am.fit()
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```
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## Documentation
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Documentation is hosted on [read the docs](http://arch.readthedocs.org/en/latest/)
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## Requirements
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* NumPy (1.7+)
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* SciPy (0.12+)
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* Pandas (0.14+)
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* statsmodels (0.5+)
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* matplotlib (1.3+)
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Installing
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* Cython (0.20+)
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* nose (For tests)
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* sphinx (to build docs)
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* sphinx-napoleon (to build docs)
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## Installing
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Setup does not verify requirements. Please ensure these are installed.
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### Linux/OSX
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```
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pip install git+git://github.com/bashtage/arch.git
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```
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**Anaconda**
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_Anaconda builds are not currently available for OSX._
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```
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conda install -c https://conda.binstar.org/bashtage arch
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```
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### Windows
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**With a compiler**
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If you are comfortable compiling binaries on Windows:
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```
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pip install git+git://github.com/bashtage/arch.git
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```
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**No Compiler**
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All binary code is backed by a pure Python implementation. Compiling can be
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skipped using the flag `--no-binary`
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```
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pip install git+git://github.com/bashtage/arch.git --install-option "--no-binary"
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```
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_Note that it isn't possible to run the test suite will fail if installed with_ `--no-binary`
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**Anaconda**
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```
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conda install -c https://conda.binstar.org/bashtage arch
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```
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## More about ARCH
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More information about ARCH and related models is available in the notes and
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research available at [Kevin Sheppard's site](http://www.kevinsheppard.com).

‎VERSION

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1.0

‎arch/__init__.py

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import os
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from numpy.testing import Tester
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from .mean import arch_model
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from ._version import __version__
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test = Tester().test
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def doc():
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import webbrowser
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webbrowser.open('http://arch.readthedocs.org/en/latest/')
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