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Implementing component GARCH process #188
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Also correct error in cgarch simulation and add str method in volatility file
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Codecov Report
@@ Coverage Diff @@
## master #188 +/- ##
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- Coverage 99.36% 97.08% -2.28%
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Files 72 35 -37
Lines 13285 8728 -4557
Branches 1131 780 -351
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- Hits 13201 8474 -4727
- Misses 28 159 +131
- Partials 56 95 +39
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Thanks for making these changes. I'm not sure this is the simplest method to implement Component GARCH since the standard Component GARCH is just a restricted GARCH(2,2). This said, I hanve't carefully reviewed these changes and so these might be more general. |
I didn't want to modify the GARCH class to allow for a restricted GARCH(2,2) because it's a really loaded class, adding it there would make it even more complicated, so I opted for a separate class altogether. |
I think it should be possible to subclass
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With subclassing , I think it would get problematic with methods that deal with the long term component e.g |
Hello, are you still considering this pull request? |
I haven't forgotten about this -- just been quite busy. |
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Hello; |
Hi guys, Is this topic still being pursued? |
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This implements the
Engle & Lee 1999
Components GARCH model which decomposes volatility into long term and short term components.A lot of change has been in the
volatility.py
andrecursion.py
files but parts ofbase.py
andmean.py
have been modified but only slightly to handle a volatility process that generates two volatility series.Tests have been added to test forecasting, representation, recursion, and estimation of CGARCH.
Forecasting is enabled for
CGARCH
but only analytical method. Other methods will be included later.One example has been put in the Examples folder and the docs have been changed where needed to show the new functionality.