Metadata-Version: 1.0
Name: arch
Version: 2.0
Summary: ARCH for Python
Home-page: http://github.com/bashtage/arch
Author: Kevin Sheppard
Author-email: kevin.sheppard@economics.ox.ac.uk
License: NCAA
Description: |Documentation Status| |CI Status| |Coverage Status|
        
        ARCH
        ====
        
        This is a work-in-progress for ARCH and other tools for financial
        econometrics, written in Python (and Cython)
        
        What is in this repository?
        ---------------------------
        
        -  Univariate ARCH Models
        
           -  Mean models
        
              -  Constant mean
              -  Heterogeneous Autoregression (HAR)
              -  Autoregression (AR)
              -  Zero mean
              -  Models with and without exogenous regressors
        
           -  Volatility models
        
              -  ARCH
              -  GARCH
              -  TARCH
              -  EGARCH
              -  EWMA/RiskMetrics
        
           -  Distributions
        
              -  Normal
              -  Student's T
        
        -  Bootstrapping
        
           -  Bootstraps
        
              -  IID Bootstrap
              -  Stationary Bootstrap
              -  Circular Block Bootstrap
              -  Moving Block Bootstrap
        
           -  Methods
        
              -  Confidence interval construction
              -  Covariance estimation
              -  Apply method to estimate model across bootstraps
              -  Generic Bootstrap iterator
        
        Examples
        --------
        
        See the `example
        notebook <http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/examples.ipynb>`__
        for a more complete overview.
        
        .. code:: python
        
            import datetime as dt
            import pandas.io.data as web
            st = dt.datetime(1990,1,1)
            en = dt.datetime(2014,1,1)
            data = web.get_data_yahoo('^FTSE', start=st, end=en)
            returns = 100 * data['Adj Close'].pct_change().dropna()
        
            from arch import arch_model
            am = arch_model(returns)
            res = am.fit()
        
        Documentation
        -------------
        
        Documentation is hosted on `read the
        docs <http://arch.readthedocs.org/en/latest/>`__
        
        Requirements
        ------------
        
        -  NumPy (1.7+)
        -  SciPy (0.12+)
        -  Pandas (0.14+)
        -  statsmodels (0.5+)
        -  matplotlib (1.3+)
        
        Optional Requirements
        ~~~~~~~~~~~~~~~~~~~~~
        
        -  Numba (0.14+), only required if installing using --no-binary
        
        Installing
        ~~~~~~~~~~
        
        -  Cython (0.20+)
        -  nose (For tests)
        -  sphinx (to build docs)
        -  sphinx-napoleon (to build docs)
        
        Installing
        ----------
        
        Setup does not verify requirements. Please ensure these are installed.
        
        Linux/OSX
        ~~~~~~~~~
        
        ::
        
            pip install git+git://github.com/bashtage/arch.git
        
        **Anaconda**
        
        *Anaconda builds are not currently available for OSX.*
        
        ::
        
            conda install -c https://conda.binstar.org/bashtage arch
        
        Windows
        ~~~~~~~
        
        **With a compiler**
        
        If you are comfortable compiling binaries on Windows:
        
        ::
        
            pip install git+git://github.com/bashtage/arch.git
        
        **No Compiler**
        
        All binary code is backed by a pure Python implementation. Compiling can
        be skipped using the flag ``--no-binary``
        
        ::
        
            pip install git+git://github.com/bashtage/arch.git --install-option "--no-binary"
        
        *Note that it isn't possible to run the test suite. It will fail if
        installed with* ``--no-binary`` *since it tests the Numba
        implementations against Cython implementations.*
        
        **Anaconda**
        
        ::
        
            conda install -c https://conda.binstar.org/bashtage arch
        
        More about ARCH
        ---------------
        
        More information about ARCH and related models is available in the notes
        and research available at `Kevin Sheppard's
        site <http://www.kevinsheppard.com>`__.
        
        Contributing
        ------------
        
        Contributions are welcome. There are opportunities at many levels to
        contribute:
        
        -  Implement new volatility process, e.g FIGARCH
        -  Improve docstrings where unclear or with typos
        -  Provide examples, preferably in the form of IPython notebooks
        
        .. |Documentation Status| image:: https://readthedocs.org/projects/arch/badge/?version=latest
           :target: http://arch.readthedocs.org/en/latest/
        .. |CI Status| image:: https://travis-ci.org/bashtage/arch.svg?branch=master
           :target: https://travis-ci.org/bashtage/arch
        .. |Coverage Status| image:: https://coveralls.io/repos/bashtage/arch/badge.png?branch=master
           :target: https://coveralls.io/r/bashtage/arch?branch=master
        
Keywords: arch,ARCH,variance,econometrics,volatility,finance,GARCH
Platform: UNKNOWN
