Metadata-Version: 1.0
Name: arch
Version: 1.0
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 related models, written in
        Python (and Cython)
        
        What is this repository for?
        ----------------------------
        
        -  Mean models
        -  Constant mean
        -  Heterogeneous Autoregression (HAR)
        -  Autoregression (AR)
        -  Zero mean
        -  Models with and without exogensou regressors
        -  Volatility models
        -  ARCH
        -  GARCH
        -  TARCH
        -  EGARCH
        -  EWMA/RiskMetrics
        -  Distributions
        -  Normal
        -  Student's T
        
        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+)
        
        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 will fail if
        installed with* ``--no-binary``
        
        **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>`__.
        
        .. |Documentation Status| image:: https://readthedocs.org/projects/arch/badge/?version=latest
           :target: https://readthedocs.org/projects/arch/?badge=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
