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Suggestion: Introduce parameter inverse transformation after fit to rescaled time series

Status: Open.

#748 In bashtage/arch;

· Kayne88 opened on Oct 22, 2024

How to simulate GARCH data for Monte Carlo simulations?

Status: Open.

#725 In bashtage/arch;

· bluefinch83 opened on May 13, 2024

Can we introduce an user-defined optional lower-bound in the stationary constraint of the variance process?

Status: Open.

#724 In bashtage/arch;

· sitmo opened on May 11, 2024

Details on Hansen's Skewed T

Status: Open.

#723 In bashtage/arch;

· sitfo-js opened on Apr 17, 2024

Source for Long Run Covariance Estimator

Status: Open.

#715 In bashtage/arch;

· novdanody opened on Feb 20, 2024

volatility forecast in comparison with realized volatility

Status: Open.

#701 In bashtage/arch;

· maryam1986safari opened on Dec 13, 2023

ENH: Add NGARCH specification to set of volatility processes

Status: Open.

#636 In bashtage/arch;

· itsNH98 opened on Apr 11, 2023

Rolling window forecast with rolling demean

Status: Open.

#633 In bashtage/arch;

· gavincyi opened on Mar 13, 2023

Local block bootstrap

Status: Open.

#617 In bashtage/arch;

· yngvem opened on Sep 29, 2022

How to compare GARCH volatility forecast performance?

Status: Open.

#607 In bashtage/arch;

· BdeBuman opened on Sep 1, 2022

Apply model to new data?

Status: Open.

#605 In bashtage/arch;

· msquaredds opened on Aug 19, 2022

ENH: Markov Switching (MS)-GARCH

enhancement

help wanted

Status: Open.

#577 In bashtage/arch;

· oronimbus opened on May 4, 2022