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``arch`` is Python 3 only. Version 4.8 is the final version that supported Python 2.7.
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`arch` is Python 3 only. Version 4.8 is the final version that supported Python 2.7.
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## Documentation
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@@ -46,34 +46,34 @@ research available at [Kevin Sheppard's site](http://www.kevinsheppard.com).
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## Contributing
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Contributions are welcome. There are opportunities at many levels to contribute:
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Contributions are welcome. There are opportunities at many levels to contribute:
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* Implement new volatility process, e.g., FIGARCH
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* Improve docstrings where unclear or with typos
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* Provide examples, preferably in the form of IPython notebooks
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- Implement new volatility process, e.g., FIGARCH
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- Improve docstrings where unclear or with typos
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- Provide examples, preferably in the form of IPython notebooks
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## Examples
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<aid="volatility"></a>
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### Volatility Modeling
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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 exogenous 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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* Generalized Error Distribution
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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 exogenous 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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- Generalized Error Distribution
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See the [univariate volatility example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/univariate_volatility_modeling.ipynb) for a more complete overview.
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### Unit Root Tests
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* Augmented Dickey-Fuller
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* Dickey-Fuller GLS
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* Phillips-Perron
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* KPSS
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* Zivot-Andrews
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* Variance Ratio tests
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- Augmented Dickey-Fuller
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- Dickey-Fuller GLS
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- Phillips-Perron
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- KPSS
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- Zivot-Andrews
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- Variance Ratio tests
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See the [unit root testing example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/unitroot_examples.ipynb) for examples of testing series for unit roots.
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<aid="bootstrap"></a>
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### Bootstrap
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* Bootstraps
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* IID Bootstrap
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* Stationary Bootstrap
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* Circular Block Bootstrap
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* Moving Block Bootstrap
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* Methods
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* Confidence interval construction
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* Covariance estimation
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* Apply method to estimate model across bootstraps
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* Generic Bootstrap iterator
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See the [bootstrap example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/bootstrap_examples.ipynb)
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- Bootstraps
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- IID Bootstrap
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- Stationary Bootstrap
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- Circular Block Bootstrap
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- Moving Block Bootstrap
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- Methods
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- Confidence interval construction
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- Covariance estimation
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- Apply method to estimate model across bootstraps
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- Generic Bootstrap iterator
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See the [bootstrap example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/bootstrap_examples.ipynb)
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for examples of bootstrapping the Sharpe ratio and a Probit model from statsmodels.
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```python
@@ -151,37 +151,37 @@ ci = bs.conf_int(sharpe_ratio, 1000, method='percentile')
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### Multiple Comparison Procedures
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* Test of Superior Predictive Ability (SPA), also known as the Reality
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Check or Bootstrap Data Snooper
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* Stepwise (StepM)
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* Model Confidence Set (MCS)
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- Test of Superior Predictive Ability (SPA), also known as the Reality
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Check or Bootstrap Data Snooper
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- Stepwise (StepM)
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- Model Confidence Set (MCS)
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See the [multiple comparison example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/multiple-comparison_examples.ipynb)
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for examples of the multiple comparison procedures.
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## Requirements
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These requirements reflect the testing environment. It is possible
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These requirements reflect the testing environment. It is possible
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that arch will work with older versions.
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* Python (3.6+)
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* NumPy (1.14+)
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* SciPy (1.0.1+)
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* Pandas (0.23+)
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* statsmodels (0.9+)
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* matplotlib (2.0+), optional
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* property-cached (1.6.3+), optional
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- Python (3.6+)
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- NumPy (1.14+)
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- SciPy (1.0.1+)
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- Pandas (0.23+)
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- statsmodels (0.9+)
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- matplotlib (2.0+), optional
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- property-cached (1.6.3+), optional
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### Optional Requirements
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* Numba (0.35+) will be used if available **and** when installed using the --no-binary option
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* jupyter and notebook are required to run the notebooks
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- Numba (0.35+) will be used if available **and** when installed using the --no-binary option
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- jupyter and notebook are required to run the notebooks
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## Installing
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Standard installation with a compiler requires Cython. If you do not
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have a compiler installed, the `arch` should still install. You will
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see a warning but this can be ignored. If you don't have a compiler,
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see a warning but this can be ignored. If you don't have a compiler,
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