Code

Implementing component GARCH process#188

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RichardMM wants to merge 102 commits intobashtage:mainbashtage/arch:mainfrom RichardMM:masterRichardMM/arch:masterCopy head branch name to clipboard

+865-39

Commits

Commits on Jul 9, 2017

• print start

  RichardMM

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  3d80b3d

• added recursion and cgarch process

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• included cgarch in init

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Commits on Jul 10, 2017

• Add .suo to gitignore

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Commits on Jul 13, 2017

• Created empty forecast methods

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Commits on Jul 22, 2017

• Add pyproj to gitignore

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• Merge remote-tracking branch 'refs/remotes/upstream/master'

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Commits on Jul 24, 2017

• Add CGARCH forecast

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• Add CGARCH docs

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• Add .sln to gitignore

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• Merge remote-tracking branch 'refs/remotes/upstream/master'

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Commits on Jul 25, 2017

• Correct import future statement

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• Ignore ipynb checkpoints

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Commits on Jul 28, 2017

• Correct recursion problem

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Commits on Jul 29, 2017

• Change cgarch constraints

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Commits on Jul 31, 2017

• Add local files to gitignore

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• Change starting values

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• Change parameter bounds

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  120d259

• Correct recursion problem

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  529d2a0

• Correct recursion

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Commits on Aug 1, 2017

• Add cgarch recursion test

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• Files change

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• Add pylint suggestions

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  f1d40ae

• Add cgarch class tests to tests file

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  9727ec1

• Change recursion used

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Commits on Aug 2, 2017

• Remove test for cython cgarch recursion

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  18a572c

• Modify super to work in python 2

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  7232806

• Correct failed tests

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  d318b7b

• Change super to support python 2

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  d15ea69

• correct undefined name

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  f40ff77

• Corrrect bug in simulate method in cgarch

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  d92cb72

• Add pylint suggestions

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  8105337

• Fix index error bug

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  cfef023

• Fix simulation bug

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  b7b4c99

• Fix simulation bug

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  453f712

• Fix simulation bug

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  5e5f7c5

• Fix cgarch simulation bug

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  cc158df

• Fix simulation bug

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  3cae18b

• Fix simulation bug

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  137ae8b

• Add travis flake8 suggestions

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• Add pylint guidelines

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Commits on Aug 3, 2017

• Add pylint suggestions

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• Add pylint suggestions

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• Add pylint suggestions

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• Add cython cgarch recursion

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• Add test for cython cgarch recursion

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• Add cython recursion test for cgarch

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• Add pylint suggestions

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• Add CGARCH to archmodel function

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• correct forecast method

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• Remove pyproj file

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  e1264fb

• Add analytic forcast for CGARCH

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• Add pylint suggestions

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• Fix forecast bug

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• Merge branch 'master' of https://github.com/bashtage/arch

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  1b901cc

• Add pylint suggestions

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• Add pylint suggestions

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• Add pylint suggestion

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• Modify compute variance to return 2 arrays

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• Remove unused method

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  9bf03fd

• Add longterm var attribute

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  bdded03

• Fix missing argument bug

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  9e7c159

• Fix optimization bug

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  b10bae2

• Fix assignment error

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  352a196

• Fix assignment bug

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Commits on Aug 4, 2017

• Modify doc for longterm_variance

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  6bae580

• Add longterm forecast property to VarianceForecast class

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  e782651

• Modify _one_step_forecast to cater for cgarch

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  6693e42

• Modify CGARCH forecast methods

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  RichardMM

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  3bda0f7

• Fix assignment bug in VarianceForecast

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  8f56e9a

• Modify ARCHModelForecast to handle component forecasts

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  74a0d56

• Modify HARX model to cater for component volatility processes

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  c32ac8d

• Fix bug in HARX model forecast return

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  RichardMM

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  9b7e680

• Fix bug in cgarch forecasts

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  82b5b7f

• Fix bug in handling tuple return

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  b4f3719

• Fix bug in cgarch forecasts

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  edba0ce

• Format to conform to pylint

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• Improve docs

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• Merge from master

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• Add some unneeded files

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• Merge pull request #2 from RichardMM/cgarch

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  RichardMM

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  8d00212

• Modify docs

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  5d3c5d2

• Tweak starting values

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Commits on Aug 5, 2017

• Modify starting values

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  0e4edca

• Modify starting values for cgarch

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• Modify starting values

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  2c3e457

• Modify cgarch starting values and bounds

  RichardMM

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  0cd6f57

• Correct typo in docs

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  101ecf3

• Increase iterations for fit

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  e13e29b

• Modify starting values for cgarch

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Commits on Aug 6, 2017

• Add CGarch example notebook

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• Modifycgarchbounds

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  eed02f6

• Change back iter parameter to 100

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• Modify docs for cgarch

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• Include cgarch in list of volatility models

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• Remove whitespace in blankline

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• Merge pull request #3 from RichardMM/cgarch

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  RichardMM

  authored
  580ae56

Commits on Sep 21, 2017

• Merge branch 'master' into master

  RichardMM

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  1d2d55a

Commits on Sep 24, 2017

• Correct error in cgarch simulation

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  5ad0aae

Commits on Nov 19, 2017

• Add new commits from bashtage and clear conflicts

  

  Macharia

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• Merge branch 'master' of https://github.com/RichardMM/arch into cgarch

  

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• Merge branch 'master' of https://github.com/RichardMM/arch into cgarch

  

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